Re: Probability Theory Referance
[ QUOTE ]
I'm looking for a book that goes through probability theory in a rigorous/measure-theoretic manner. Specifically, I'd prefer something that goes through stochastic calculus/pde's, brownian motion, and markov chains.
Anyone have any good references they can recommend?
[/ QUOTE ]
Probability, Random Variables, and Stochastic Processes by Papoulis is a classic text that has these topics and contains some rigor. My grad level EE probability courses used it, and it is full of great examples, though many are EE related. If you completely understood every example from just 1 chapter you would really have something.
The 2 volume set by Feller is another classic for probability theory and contains many advanced topics, though not necessarily heavy on measure theory.
|