An Introduction to Probability and Stochastic Processes PDF
by Marc A. Berger
Part of the Springer Texts in Statistics series
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These notes were written as a result of my having taught a "nonmeasure theoretic" course in probability and stochastic processes a few times at the Weizmann Institute in Israel.
I have tried to follow two principles. The first is to prove things "probabilistically" whenever possible without recourse to other branches of mathematics and in a notation that is as "probabilistic" as possible.
Thus, for example, the asymptotics of pn for large n, where P is a stochastic matrix, is developed in Section V by using passage probabilities and hitting times rather than, say, pulling in Perron- Frobenius theory or spectral analysis.
Similarly in Section II the joint normal distribution is studied through conditional expectation rather than quadratic forms.
The second principle I have tried to follow is to only prove results in their simple forms and to try to eliminate any minor technical com- putations from proofs, so as to expose the most important steps.
Steps in proofs or derivations that involve algebra or basic calculus are not shown; only steps involving, say, the use of independence or a dominated convergence argument or an assumptjon in a theorem are displayed.
For example, in proving inversion formulas for characteristic functions I omit steps involving evaluation of basic trigonometric integrals and display details only where use is made of Fubini's Theorem or the Dominated Convergence Theorem.
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- Format:PDF
- Publisher:Springer New York
- Publication Date:06/12/2012
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- ISBN:9781461227267
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-
Download Now
- Format:PDF
- Publisher:Springer New York
- Publication Date:06/12/2012
- Category:
- ISBN:9781461227267