References for DTSP – M1: Probability Theory

Please, remember that these references are just to provide you with extra resources and examples,
they are no substitute of the main course note by any means.

- Measure Theory Basics (sigma algebra, Borel sigma algebra, etc.).

o You have a basic approach to this in the reference books, e.g.:
§ Chapters 1 and 2 in Jacod and Protter, Probability Essentials, Springer, 2004.
§ Chapters 1 and 2 in Shiryaev and Boas, Probability, Springer, Vol 95.

o You can check out these series of videos from ‘The Bright Side of Mathematics’ in
YouTube (you will find more helpful videos in the channel although I do not explicitly
refer to them):
§ For sigma algebra basics:
https://www.youtube.com/watch?v=xZ69KEg7cc
§ For Borel sigma algebra:
https://www.youtube.com/watch?v=z5m6HXKx0Wo
§ For measures (Counting, Dirac, Lebesgue):
https://www.youtube.com/watch?v=7O7qPrNIt7w
§ For Lebesgue measurability:
https://www.youtube.com/watch?v=Ur3ofJ61bpk
§ For map/set measurability:
https://www.youtube.com/watch?v=11heoNVavvM
§ For Lebesgue integral:
https://www.youtube.com/watch?v=TG67nsccqeQ
§ For Lebesgue dominated convergence:
https://www.youtube.com/watch?v=eu-6_wpTE-A

- Radon-Nikodyn theorem (aka Change of measure).

o This 10-min video can give you an intuition on why R-N is going to be useful with an easy
example:
https://www.youtube.com/watch?v=dG6qQo3HFGY

o Another example of R-N theorem in math.stackexchange.com (btw, nice forum to share

technical doubts on virtually everything), with a discussion of some doubts by the
original poster and a couple of explanations:
https://math.stackexchange.com/questions/2728955/understanding-this-
example-explanation-of-the-radon-nikodym-derivative

- You can also check problem sets in the books mentioned in the references:
o Jacob and Protter, Prob. Essentials, 2nd Ed., 2004 à Problems sets for Ch. 2 and
(marginally) Ch. 3.
§ Helpful note: If you google “Solutions of Selected Problems from Probability
Essentials Jacod and Protter” you will find a .pdf with solutions for a selected
number of exercises in the problem sets. I have only managed to find solutions
for a selected number of exercises, maybe you are able to find the complete
solution book.

o Shiryaev and Boas, Probability, vol95 à Problems Ch.1 (p.16-17) (I have not managed
to find solutions on this one, you may try)