Foundations of Modern Probability

  • Olav Kallenberg

Part of the Probability and Its Applications book series (PIA)

Table of contents

  1. Front Matter
    Pages i-N1
  2. Olav Kallenberg
    Pages 1-22
  3. Olav Kallenberg
    Pages 23-44
  4. Olav Kallenberg
    Pages 45-61
  5. Olav Kallenberg
    Pages 62-82
  6. Olav Kallenberg
    Pages 103-118
  7. Olav Kallenberg
    Pages 119-139
  8. Olav Kallenberg
    Pages 140-158
  9. Olav Kallenberg
    Pages 159-177
  10. Olav Kallenberg
    Pages 178-201
  11. Olav Kallenberg
    Pages 202-223
  12. Olav Kallenberg
    Pages 224-248
  13. Olav Kallenberg
    Pages 249-269
  14. Olav Kallenberg
    Pages 270-284
  15. Olav Kallenberg
    Pages 285-306
  16. Olav Kallenberg
    Pages 329-349
  17. Olav Kallenberg
    Pages 350-366
  18. Olav Kallenberg
    Pages 367-389
  19. Olav Kallenberg
    Pages 390-411
  20. Olav Kallenberg
    Pages 428-449
  21. Olav Kallenberg
    Pages 450-469
  22. Olav Kallenberg
    Pages 470-489
  23. Olav Kallenberg
    Pages 537-560
  24. Back Matter
    Pages 561-638

About this book


From the reviews of the first editions: "... Kallenberg's present book would have to qualify as the assimilation of probability par excellence. It is a great edifice of material, clearly and ingeniously presented, without any non-mathematical distractions. Readers wishing to venture into it may do so with confidence that they are in very capable hands." F.B. Knight, Mathematical Reviews
"...Indeed the monograph has the potential to become a (possibly even "the") major reference book on large parts of probability theory for the next decade or more." M. Scheutzow, Zentralblatt
"The theory of probability has grown exponentially during the second half of the twentieth century and the idea of writing a single volume that could serve as a general reference for much of the modern theory seems almost foolhardy. Yet this is precisely what Professor Kallenberg has attempted in the volume under review and he has accomplished it brilliantly...It is astonishing that a single volume of just over five hundred pages could contain so much material presented with complete rigor and still be at least formally self-contained..." R.K. Getoor, Metrika
This new edition contains four new chapters as well as numerous improvements throughout the text.
Olav Kallenberg was educated in Sweden, where he received his Ph.D. in 1972 from Chalmers University. After teaching for many years at Swedish universities, he moved in 1985 to the U.S., where he is currently a Professor of Mathematics at Auburn University. He is known for his book "Random Measures" (4th edition, 1986) and for numerous research papers in all areas of probability. In 1977, he was the second recipient ever of the prestigious Rollo Davidson Prize from Cambridge University. In 1991-94, he served as the Editor-in-Chief of "Probability Theory and Related Fields."


Brownian motion Ergodic theory Excel Feller process Gaussian process Markov process Martingale Probability theory Semimartingale Variance local time measure theory quadratic variation random walk renewal theory

Authors and affiliations

  • Olav Kallenberg
    • 1
  1. 1.Department of MathematicsAuburn UniversityAuburnUSA

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag New York 2002
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-2949-5
  • Online ISBN 978-1-4757-4015-8
  • Series Print ISSN 1431-7028
  • Buy this book on publisher's site