Probability via Expectation
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Beschreibung
This book will provide a background in probability theory for those wishing to work in the area of mathematical finance.
Autor*in
Peter Whittle
Themen in »Probability via Expectation«
Markov process Martingale Random variable optimization probability measure
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“This surprising and beautiful introduction to concepts of probability … chapters have been added which deal with areas of big actual interest … .” (Peter Imkeller, zbMATH 0980.60004, 2022)
From the reviews of the fourth edition:
"... a clear success in its unorthodoxy, Probability via Expectation has become a treasured classic."
P.A.L. Emrechts in "Short Book Reviews", Vol. 21/1, April, 2001
"Apart from presenting a case for the development of probability theory by using the expectation operator rather than probability measure as the primitive notion, a second distinctive feature of this book is the very large range of modern applications that it covers. Many of these are addressed by more than 350 exercises interspersed throughout the text. In summary, this well written book is a … introduction to probability theory and its applications." (Norbert Henze, Metrika, November, 2002)
"Originally published in 1970, this book has stood the test of time. … the text demonstrates a modern alternative approach to a now classical field. … The fourth edition contains a number of modifications and corrections. New material on dynamic programming, optimal allocation, options pricing and large deviations is included." (Martin T. Wells, Journal of the American Statistical Association, September 2001)
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