Review: Probability with Martingales
Probability with Martingales by David Williams My rating: 5 of 5 stars There is a large gap between classical and modern (measure theoretic) probability theory in that the later seems so much harder. However, without measure theory probability theory lacks a solid theoritical basis and leads to unsurmantouble problems in tryingto define stochastic processes. I found this to be the best instructional book for those who want to transition from classical to the measure theoretic probability. I am not sure it is the best introductory book for measure theory and Lebesgue integration although the author offers a complete exposition in the first chapters. It is however an excellent exposition of how to apply these results in probability theory. By reading the book and doing the exercises the reader can gain intuition and start formulating probabilistic problems in this framework. View all my reviews