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Probability Theory
S. R. S. Varadhan, New York University - Courant Institute of Mathematical Sciences, NY
A co-publication of the AMS and Courant Institute of Mathematical Sciences at New York University.

Courant Lecture Notes
2001; 167 pp; softcover
Volume: 7
Reprint/Revision History:
second printing with corrections 2012
ISBN-10: 0-8218-2852-5
ISBN-13: 978-0-8218-2852-6
List Price: US$28
Member Price: US$22.40
Order Code: CLN/7
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S. R. S. Varadhan is recognized as a top expert in probability theory. This volume presents topics in probability theory covered during a first-year graduate course given by Varadhan at the Courant Institute of Mathematical Sciences. The necessary background material in measure theory is developed, including the standard topics, such as extension theorem, construction of measures, integration, product spaces, Radon-Nikodym theorem, and conditional expectation.

In the first part of the book, characteristic functions are introduced, followed by the study of weak convergence of probability distributions. Then both the weak and strong limit theorems for sums of independent random variables are proved, including the weak and strong laws of large numbers, central limit theorems, laws of the iterated logarithm, and the Kolmogorov three series theorem. The first part concludes with infinitely divisible distributions and limit theorems for sums of uniformly infinitesimal independent random variables.

The second part of the book mainly deals with dependent random variables, particularly martingales and Markov chains. Topics include standard results regarding discrete parameter martingales and Doob's inequalities. The standard topics in Markov chains are treated, i.e., transience, and null and positive recurrence. A varied collection of examples is given to demonstrate the connection between martingales and Markov chains.

Additional topics covered in the book include stationary Gaussian processes, ergodic theorems, dynamic programming, optimal stopping, and filtering. A large number of examples and exercises is included. The book is a suitable text for a first-year graduate course in probability.

S. R. S. Varadhan is the winner of the 2007 Abel Prize. Varadhan was awarded the prize "for his fundamental contributions to probability theory and in particular for creating a unified theory of large deviations". Read more here.

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Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.


Graduate students and research mathematicians interested in probability theory and stochastic processes and in applications to economics, and finance.

Table of Contents

  • Measure theory
  • Weak convergence
  • Independent sums
  • Dependent random variables
  • Martingales
  • Stationary stochastic processes
  • Dynamic programming and filtering
  • Bibliography
  • Index
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