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Measure Theory
1.1 Probability Spaces
1.2 Distributions
1.3 Random Variables
1.4 Integration
1.5 Properties of the Integral
1.6 Expected Value
1.6.1 Inequalities
1.6.2 Integration to the Limit
1.6.3 Computing Expected Values
1.7 Product Measures, Fubini’s Theorem
Laws of Large Numbers
2.1 Independence
2.1.1 Suﬃcient Conditions for Independence
2.1.2 Independence, Distribution, and Expectation
2.1.3 Sums of Independent Random Variables
2.1.4 Constructing Independent Random Variables
2.2 Weak Laws of Large Numbers
2.2.2 Triangular Arrays
2.2.3 Truncation
2.3 Borel-Cantelli Lemmas
2.4 Strong Law of Large Numbers
2.5 Convergence of Random Series*
2.5.1 Rates of convergence
2.5.2 Inﬁnite Mean
2.6 Large Deviations*
Central Limit Theorems
3.1 The De Moivre-Laplace Theorem
3.2 Weak Convergence
3.2.1 Examples
3.2.2 Theory
3.3 Characteristic Functions
3.3.1 Deﬁnition, Inversion Formula
3.3.2 Weak Convergence
3.3.3 Moments and Derivatives
3.3.4 Polya’s Criterion*
3.3.5 The Moment Problem*
3.4 Central Limit Theorems
3.4.1 i.i.d. Sequences
3.4.2 Triangular Arrays
3.4.3 Prime Divisors (Erd¨os-Kac)*
3.4.4 Rates of Convergence (Berry-Esseen)*
3.5 Local Limit Theorems*
3.6 Poisson Convergence
3.6.1 The Basic Limit Theorem
3.6.2 Two Examples with Dependence
3.6.3 Poisson Processes
3.7 Stable Laws*
3.8 Inﬁnitely Divisible Distributions*
3.9 Limit Theorems in Rd
Random Walks
4.1 Stopping Times
4.2 Recurrence
4.3 Visits to 0, Arcsine Laws*
4.4 Renewal Theory*
Martingales
5.1 Conditional Expectation
5.1.1 Examples
5.1.2 Properties
5.1.3 Regular Conditional Probabilities*
5.2 Martingales, Almost Sure Convergence
5.3 Examples
5.3.1 Bounded Increments
5.3.2 Polya’s Urn Scheme
5.3.4 Branching Processes
5.4 Doob’s Inequality, Convergence in Lp
5.4.1 Square Integrable Martingales*
5.5 Uniform Integrability, Convergence in L1
5.6 Backwards Martingales
5.7 Optional Stopping Theorems
Markov Chains
6.1 Deﬁnitions
6.2 Examples
6.3 Extensions of the Markov Property
6.4 Recurrence and Transience
6.6 Asymptotic Behavior
6.7 Periodicity, Tail σ-ﬁeld*
6.8 General State Space*
6.8.1 Recurrence and Transience
6.8.2 Stationary Measures
6.8.3 Convergence Theorem
6.8.4 GI/G/1 queue
Ergodic Theorems
7.1 Deﬁnitions and Examples
7.2 Birkhoﬀ’s Ergodic Theorem
7.3 Recurrence
7.5 Applications*
Brownian Motion
8.1 Deﬁnition and Construction
8.2 Markov Property, Blumenthal’s 0-1 Law
8.3 Stopping Times, Strong Markov Property
8.4 Path Properites
8.4.1 Zeros of Brownian Motion
8.4.2 Hitting times
8.4.3 L´evy’s Modulus of Continuity
8.5 Martingales
8.5.1 Multidimensional Brownian motion
8.6 Donsker’s Theorem
8.7 Empirical Distributions, Brownian Bridge
8.8 Laws of the Iterated Logarithm*
Measure Theory Details
A.1 Carathe´eodory’s Extension Theorem
A.2 Which sets are measurable?
A.3 Kolmogorov’s Extension Theorem
A.5 Diﬀerentiating Under the Integral
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Durrett

# Durrett

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05/09/2013

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