Probability

Rick Durrett
Cambridge University Press
 9780521765398
0-521-76539-0

This book is an introduction to probability theory covering laws of large numbers, central limit theorems, random walks, martingales, Markov chains, ergodic theorems, and Brownian motion. It is a comprehensive.

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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.