Measure Theory and Probability Theory (eBook)

This is a graduate level textbook on measure theory and probability theory. The book can be used as a text for a two semester sequence of courses in measure theory and probability theory, with an option to include supplemental material on stochastic processes and special topics. It is intended primarily for first year Ph.D. students in mathematics and statistics although mathematically advanced students from engineering and economics would also find the book useful. Prerequisites are kept to the minimal level of an understanding of basic real analysis concepts such as limits, continuity, differentiability, Riemann integration, and convergence of sequences and series. A review of this material is included in the appendix. The book starts with an informal introduction that provides some heuristics into the abstract concepts of measure and integration theory, which are then rigorously developed. The first part of the book can be used for a standard real analysis course for both mathematics and statistics Ph.D. students as it provides full coverage of topics such as the construction of Lebesgue-Stieltjes measures on real line and Euclidean spaces, the basic convergence theorems, L^p spaces, signed measures, Radon-Nikodym theorem, Lebesgue's decomposition theorem and the fundamental theorem of Lebesgue integration on R, product spaces and product measures, and Fubini-Tonelli theorems. It also provides an elementary introduction to Banach and Hilbert spaces, convolutions, Fourier series and Fourier and Plancherel transforms. Thus part I would be particularly useful for students in a typical Statistics Ph.D. program if a separate course on real analysis is not a standard requirement. Part II (chapters 6-13) provides full coverage of standard graduate level probability theory. It starts with Kolmogorov's probability model and Kolmogorov's existence theorem. It then treats thoroughly the laws of large numbers including renewal theory and ergodic theorems with applications and then weak convergence of probability distributions, characteristic functions, the Levy-Cramer continuity theorem and the central limit theorem as well as stable laws. It ends with conditional expectations and conditional probability, and an introduction to the theory of discrete time martingales. Part III (chapters 14-18) provides a modest coverage of discrete time Markov chains with countable and general state spaces, MCMC, continuous time discrete space jump Markov processes, Brownian motion, mixing sequences, bootstrap methods, and branching processes. It could be used for a topics/seminar course or as an introduction to stochastic processes. From the reviews: '...There are interesting and non-standard topics that are not usually included in a first course in measture-theoretic probability including Markov Chains and MCMC, the bootstrap, limit theorems for martingales and mixing sequences, Brownian motion and Markov processes. The material is well-suported with many end-of-chapter problems.' D.L. McLeish for Short Book Reviews of the ISI, December 2006

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This book arose out of two graduate courses that the authors have taught duringthepastseveralyears;the?rstonebeingonmeasuretheoryfollowed by the second one on advanced probability theory. The traditional approach to a ?rst course in measure theory, such as in Royden (1988), is to teach the Lebesgue measure on the real line, then the p di?erentation theorems of Lebesgue, L -spaces on R, and do general m- sure at the end of the course with one main application to the construction of product measures. This approach does have the pedagogic advantage of seeing one concrete case ?rst before going to the general one. But this also has the disadvantage in making many students' perspective on m- sure theory somewhat narrow. It leads them to think only in terms of the Lebesgue measure on the real line and to believe that measure theory is intimately tied to the topology of the real line. As students of statistics, probability, physics, engineering, economics, and biology know very well, there are mass distributions that are typically nonuniform, and hence it is useful to gain a general perspective. This book attempts to provide that general perspective right from the beginning. The opening chapter gives an informal introduction to measure and integration theory. It shows that the notions of ?-algebra of sets and countable additivity of a set function are dictated by certain very na- ral approximation procedures from practical applications and that they are not just some abstract ideas.