S. R. S. Varadhan

This volume presents topics in probability theory covered during a first-year graduate course given 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.

Probability Theory

Albert N. Shiryaev

Ernst L. Presman

The role of Yuri Vasilyevich Prokhorov as a prominent mathematician and leading expert in the theory of probability is well known. Even early in his career he obtained substantial results on the validity of the strong law of large numbers and on the estimates (bounds) of the rates of convergence, some of which are the best possible. His findings on limit theorems in metric spaces and particularly functional limit theorems are of exceptional importance. Y.V. Prokhorov developed an original approach to the proof of functional limit theorems, based on the weak convergence of finite dimensional distributions and the condition of tightness of probability measures. The present volume commemorates the 80th birthday of Yuri Vasilyevich Prokhorov. It includes scientific contributions written by his colleagues, friends and pupils, who would like to express their deep respect and sincerest admiration for him and his scientific work.​

In Honor of Yuri V. Prokhorov

Prokhorov and Contemporary Probability Theory

Peter D. Lax

Mariano Giaquinta

The 11 papers discuss analysis, partial differential equations, applied mathematics, and scientific computing, focusing on the work of Peter Lax and Louis Nirenberg, whose 70th birthdays occasioned the conference. Specific topics include viscosity solutions for the porous medium equation, holomorphic curves in contact dynamics, and minimizing volume among Lagrangian submanifolds. No index. Member prices are $31 for institutions and $23 or individuals. Annotation copyrighted by Book News, Inc., Portland, OR.

La Pietra 1996 : Conference on Differential Equations Marking the 70th Birthdays of Peter Lax and Louis Nirenberg, July 3-7, 1996, Villa La Pietra, Florence, Italy

S. R. S. Varadhan

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