包邮概率论教程

preface1 basic measure theory1.1 classes of sets1.2 set functior1.3 the measure exterion theorem1.4 measurable maps1.5 random variables2 independence2.1 independence of events2.2 independent random variables2.3 kolmogorov's 0-1 law2.4 example：percolation3 generating functior3.1 definition and examples3.2 poisson approximation3.3 branching processes4 the integral4.1 cortruction and simple properties4.2 monotone convergence and fatou's lemma.4.3 lebesgue integral verus riemann integral5 moments and laws of large number5.1 moments5.2 weak law of large number5.3 strong law of large number5.4 speed of convergence in the strong lln5.5 the poisson process6 convergence theorems6.1 almost sure and measure convergence6.2 uniform integrability6.3 exchanging integral and differentiation7 lp-spaces and the radon-nikodym theorem7.1 definitior7.2 inequalities and the fischer-riesz theorem7.3 hilbert spaces7.4 lebesgue's decomposition theorem7.5 supplement：signed measures7.6 supplement：dual spaces8 conditional expectatior8.1 elementary conditional probabilities8.2 conditional expectatior8.3 regular conditional distribution9 martingales9.1 processes, filtratior, stopping times9.2 martingales9.3 discrete stochastic integral9.4 discrete martingale representation theorem and the crr model10 optional sampling theorems10.1 doob decomposition and square variation10.2 optional sampling and optional stopping10.3 uniform integrability and optional sampling11 martingale convergence theorems and their applicatior11.1 doob's inequality11.2 martingale convergence theorems11.3 example：branching process12 backwards martingales and exchangeability12.1 exchangeable families of random variables12.2 backwards martingales12.3 de finetti's theorem13 convergence of measures13.1 a topology primer13.2 weak and vague convergence13.3 prohorov's theorem13.4 application：a fresh look at de finetti's theorem14 probability measures on product spaces14.1 product spaces14.2 finite products and trarition kernels14.3 kolmogorov's exterion theorem14.4 markov semigroups15 characteristic functior and the central limit theorem15.1 separating classes of functior15.2 characteristic functior：examples15.3 l6vy's continuity theorem15.4 characteristic functior and moments15.5 the central limit theorem15.6 multidimerional central limit theorem16 infinitely divisible distributior16.1 l6vy-khinchin formula16.2 stable distributior17 markov chair17.1 definitior and cortruction17.2 discrete markov chair：examples17.3 discrete markov processes in continuous time17.4 discrete markov chair：recurrence and trarience17.5 application：recurrence and trarience of random walks17.6 invariant distributior18 convergence of markov chair18.1 periodicity of markov chair18.2 coupling and convergence theorem18.3 markov chain monte carlo method18.4 speed of convergence19 markov chair and electrical networks19.1 harmonic functior19.2 reverible markov chair19.3 finite electrical networks19.4 recurrence and trarience19.5 network reduction19.6 random walk in a random environment20 ergodic theory20.1 definitior20.2 ergodic theorems20.3 examples20.4 application：recurrence of random walks20.5 mixing21 brownian motion21.1 continuous verior21.2 cortruction and path properties21.3 strong markov property21.4 supplement：feller processes21.5 cortruction via l2-approximation21.6 the space c（[0, ∞））21.7 convergence of probability measures on c（[0, ∞））21.8 dorker's theorem21.9 pathwise convergence of branching processes21.10 square variation and local martingales22 law of the iterated logarithm22.l iterated logarithm for the brownian motion22.2 skorohod's embedding theorem22.3 hartman-wintner theorem23 large deviatior23.1 cramer's theorem23.2 large deviatior principle23.3 sanov's theorem23.4 varadhan's lemma and free energy24 the poisson point process24.1 random measures24.2 properties of the poisson point process24.3 the poisson-dirichlet distribution25 the it6 integral25.1 it6 integral with respect to brownian motion25.2 it6 integral with respect to diffusior25.3 the it6 formula25.4 dirichlet problem and brownian motion25.5 recurrence and trarience of brownian motion26 stochastic differential equatior26.1 strong solutior26.2 weak solutior and the martingale problem26.3 weak uniqueness via dualityreferencesnotation indexname indexsubject index