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An Introduction to Probability Theory - Geiss

# An Introduction to Probability Theory - Geiss

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09/22/2011

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An introduction to probability theory
Christel Geiss and Stefan GeissFebruary 19, 2004

2

Contents
1 Probability spaces 7
1.1 Deﬁnition of
σ
-algebras . . . . . . . . . . . . . . . . . . . . . . 81.2 Probability measures . . . . . . . . . . . . . . . . . . . . . . . 121.3 Examples of distributions . . . . . . . . . . . . . . . . . . . . 201.3.1 Binomial distribution with parameter 0
< p <
1 . . . . 201.3.2 Poisson distribution with parameter
λ >
0 . . . . . . . 211.3.3 Geometric distribution with parameter 0
< p <
1 . . . 211.3.4 Lebesgue measure and uniform distribution . . . . . . 211.3.5 Gaussian distribution on
with mean
m
andvariance
σ
2
>
0 . . . . . . . . . . . . . . . . . . . . . . 221.3.6 Exponential distribution on
with parameter
λ >
0 . 221.3.7 Poissons Theorem . . . . . . . . . . . . . . . . . . . . 241.4 A set which is not a Borel set . . . . . . . . . . . . . . . . . . 25
2 Random variables 29
2.1 Random variables . . . . . . . . . . . . . . . . . . . . . . . . . 292.2 Measurable maps . . . . . . . . . . . . . . . . . . . . . . . . . 312.3 Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3 Integration 39
3.1 Denition of the expected value . . . . . . . . . . . . . . . . . 393.2 Basic properties of the expected value . . . . . . . . . . . . . . 423.3 Connections to the Riemann-integral . . . . . . . . . . . . . . 483.4 Change of variables in the expected value . . . . . . . . . . . . 493.5 Fubinis Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 513.6 Some inequalities . . . . . . . . . . . . . . . . . . . . . . . . . 58
4 Modes of convergence 63
4.1 Denitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 634.2 Some applications . . . . . . . . . . . . . . . . . . . . . . . . . 643

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