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Stale
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intro to measure theory

October 29th, 2012, 9:23 am

This one isn't half-bad either:
 
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Cuchulainn
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intro to measure theory

October 30th, 2012, 8:21 am

QuoteOriginally posted by: RufusWIlliams - Probability with Martingales is my favourite probability book (including measure theory) and it's compactness means it is a good reference.This is very good and concise.
 
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grabben
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Joined: August 23rd, 2002, 12:47 pm

intro to measure theory

November 6th, 2012, 7:03 am

I would also recommend Ash's book. More than 10% of the total page count is devoted to concise worked solutions.It's at about the same level as Williams but Williams is shorter/briefer and keeps a faster pace so its easier to keep motivated and complete. Ash's book has a wider coverage and includes for instance stable distributions and infinitely divisible distributions which I thought was good.My first peak at Measure theory was in Pugh's book on real analysis. I then read Capinski & Kopp, Williams and lastly Ash. All books have been good for self study.