Measure-Theoretic Probability : With Applications to Statistics, Finance, and Engineering

This textbook offers an approachable introduction to measure-theoretic probability, illustrating core concepts with examples from statistics and engineering.

The author presents complex concepts in a succinct manner, making otherwise intimidating material approachable to undergraduates who are not necessarily studying mathematics as their major.

Throughout, readers will learn how probability serves as the language in a variety of exciting fields.

Specific applications covered include the coupon collector’s problem, Monte Carlo integration in finance, data compression in information theory, and more. Measure-Theoretic Probability is ideal for a one-semester course and will best suit undergraduates studying statistics, data science, financial engineering, and economics who want to understand and apply more advanced ideas from probability to their disciplines.

As a concise and rigorous introduction to measure-theoretic probability, it is also suitable for self-study.Prerequisites include a basic knowledge of probability and elementary concepts from real analysis.