A User’s Guide to Measure Theoretic Probability

A User’s Guide to Measure Theoretic Probability by David Pollard, published by Cambridge University Press in 2002, is a comprehensive resource spanning 351 pages. This book is designed for both graduate and undergraduate students who may not have prior exposure to measure theory. It covers fundamental topics such as independence, conditioning, martingales, and convergence in distribution, while also delving into more advanced subjects like coupling and option pricing through the equivalent martingale measure.

Readers will find that the book not only presents mathematical theory but also discusses the rationale behind its current formulation. It serves as a foundational text for those looking to engage with rigorous probabilistic arguments and gain a deeper understanding of their implications. The content is structured to facilitate learning for those interested in mathematics, algebra, and probability and statistics, making it a valuable addition to any academic library.