Measure-Theoretic Probability: With Applications to Statistics, Finance, and Engineering

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Kenneth Shum

Measure-Theoretic Probability

With Applications to Statistics, Finance, and Engineering

Kenneth Shum

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English

Birkhauser Verlag AG
31 March 2024

Integral calculus & equations; Probability & statistics; Stochastics

Series: Compact Textbooks in Mathematics

This textbook offers an approachable introduction to measure-theoretic probability, illustrating core concepts with examples from statistics and engineering. The author presents complex concepts in a succinct manner, making otherwise intimidating material approachable to undergraduates who are not necessarily studying mathematics as their major. Throughout, readers will learn how probability serves as the language in a variety of exciting fields. Specific applications covered include the coupon collector’s problem, Monte Carlo integration in finance, data compression in information theory, and more.

Measure-Theoretic Probability is ideal for a one-semester course and will best suit undergraduates studying statistics, data science, financial engineering, and economics who want to understand and apply more advanced ideas from probability to their disciplines. As a concise and rigorous introduction to measure-theoretic probability, it is also suitable for self-study.

Prerequisites include a basic knowledge of probability and elementary concepts from real analysis.

By: Kenneth Shum
Imprint: Birkhauser Verlag AG
Country of Publication: Switzerland
Dimensions: Height: 235mm, Width: 155mm,
ISBN: 9783031498329
ISBN 10: 3031498321
Series: Compact Textbooks in Mathematics
Pages: 259
Publication Date: 31 March 2024
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

Preface.- Beyond discrete and continuous random variables.- Probability spaces.- Lebesgue–Stieltjes measures.- Measurable functions and random variables.- Statistical independence.- Lebesgue integral and mathematical expectation.- Properties of Lebesgue integral and convergence theorems.- Product space and coupling.- Moment generating functions and characteristic functions.- Modes of convergence.- Laws of large numbers.- Techniques from Hilbert space theory.- Conditional expectation.- Levy’s continuity theorem and central limit theorem.- References.- Index.

Kenneth Shum received his PhD degree in Electrical Engineering at University of Southern California. Currently, he is an Associate Professor in the School of Science and Engineering at The Chinese University of Hong Kong, Shenzhen. His research interests include information theory and coding theory, probability, and combinatorics.