书籍介绍
This classic introduction to probability theory for beginning graduate students covers laws of large numbers, central limit theorems, random walks, martingales, Markov chains, ergodic theorems, and Brownian motion. It is a comprehensive treatment concentrating on the results that are the most useful for applications. Its philosophy is that the best way to learn probability is to see it in action, so there are 200 examples and 450 problems. The new edition begins with a short chapter on measure theory to orient readers new to the subject.
用户评论
This book is considered challenging if the target audience has never seen measure theory before.
之前學了兩邊實變函數把測度論的基礎打得還不錯，以至於學概率論沒有覺得太困難。
学习的时候用过 第2版，typo很多，不过 讲的确实 不错，后来买了3ed 改了不少typo，但还有…… 不过做 theory 入门还是 很好的
读完！
测度论老师说他在grad school时候就学的这本，心疼老师一秒
证明上写法比较简略的advanced probability…发现自己对随机方向确实没有很大兴趣，比如讲martingale的部分，里面做背景介绍的很多examples都让我觉得很啰嗦…（而这些可能是prob相对于analysis的特殊风格）
学过测度论的话这本书还是很友好。碰巧昨天遇到个数学PhD跟我讲概率论不是真正的数学，这是学代数几何学傻了吧😂
真的是神书啊，大二下概率论教材，大三上数理统计参考教材，大三下随机过程教材，大四上高概还是教材。一本书两年了还在学，而且课后题还有答案，方便抄作业（划掉）
Chap.2 Law of large number 很经典，Chapter 5之后的内容写得有些简略，可以参考其他Markov Chain&Brownian Motion的书籍，不过一点儿也不妨碍它成为概率论“圣经”。This book can offer you some real taste about mathematics and about probability.
作为学习概率论的辅助教材还是挺不错的，内容非常多，概率论本身属于纯数，难度比较大，可以在学习过初等概率论（没有太多测度论的知识）的基础上阅读。
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