This is a masterly introduction to the modern, and rigorous, theory of probability. The author emphasises martingales and develops all the necessary measure theory.
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'... one of the best introductions to Martingale theory.' Monatshefte für Mathematik
This key book is a rigorous account which has Doob's theory of martingales in discrete time as its main theme. A distinguishing feature of this study is its determination to keep the probability flowing at a nice tempo. It achieves this by being selective rather than encyclopaedic, presenting only what is essential to understand the fundamentals.
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