Foundations of Modern Probability: Edition 3

Olav Kallenberg

shk 2021 · Probability Theory and Stochastic Modelling Libri 99 · Springer Nature

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About the first edition:

To sum it up, one can perhaps see a distinction among advanced probability books into those which are original and path-breaking in content, such as Levy's and Doob's well-known examples, and those which aim primarily to assimilate known material, such as Loeve's and more recently Rogers and Williams'. Seen in this light, Kallenberg's present book would have to qualify as the assimilation of probability par excellence. It is a great edifice of material, clearly and ingeniously presented, without any non-mathematical distractions. Readers wishing to venture into it may do so with confidence that they are in very capable hands.

- Mathematical Reviews

This new edition contains four new chapters as well as numerous improvements throughout the text. There are new chapters on measure Theory-key results, ergodic properties of Markov processes and large deviations.

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Olav Kallenberg (Ph.D., Chalmers University, Gothenburg, Sweden, 1972) is an Emeritus Professor at Auburn University. He has held research positions in Sweden and abroad and taught in the US for more than 30 years. In 1977 he was awarded the Rollo Davidson Prize by Cambridge University, in 1989 he was elected a Fellow of the IMS, and in 1991–94 he served as the editor of PTRF. He has given plenary talks at major conferences all over the world, and was the opening lecturer at both the Vilnius Conference in 2006 and at the SPA Conference in Gothenburg in 2018. Apart from his numerous research papers, he is known for his Springer books Probabilistic Symmetries and Invariance Principles (2005) and Random Measures, Theory and Applications (2017). His book Foundations of Modern Probability (1997, 2002, and 2021) has become a classic reference work.

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