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MATH 6605 3.00AF (Fall 2010)
Probability Theory

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Documents and links


I haven't put anything on reserve. The text is Rosenthal's A first look at rigorous probability theory. A more comprehensive modern text is Durrett's Probability: Theory and Examples.

Older references are still quite useful. Chung's A course in probability theory used to be the standard text for courses on convergence of random variables. Lamperti's Probability is a short and conversational book, in much the same spirit as Rosenthal. Breiman's Probability is a readable but comprehensive treatment, in the same spirit as Durrett. And there are parts of the theory that still are best learned from an even older and more encyclopaedic text, namely Feller's An introduction to probability theory and its applications, both volume 1 and volume 2.