© 1997

Foundations of Modern Probability


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

About this book


From the reviews of the first edition: "... To sum it up, one can perhaps see a distinction among advanced probability books into those which are original and path-breaking in content, such as Levy's and Doob's well-known examples, and those which aim primarily to assimilate known material, such as Loeve's and more recently Rogers and Williams'. Seen in this light, 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." 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." 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. ..." Metrica This new edition contains four new chapters as well as numerous improvements throughout the text.


Brownian motion Feller process Gaussian process Markov process Martingal Martingale Probability theory Semimartingale Variance Variation ergodic theory local time measure theory quadratic variation random walk

Authors and affiliations

  1. 1.Department of Mathematics, Auburn UniversityAuburn UniversityUSA

Bibliographic information

  • Book Title Foundations of Modern Probability
  • Authors Olav Kallenberg
  • Series Title Probability and its Applications
  • DOI
  • Copyright Information Applied Probability Trust 1997
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-0-387-94957-4
  • Softcover ISBN 978-1-4757-7115-2
  • eBook ISBN 978-0-387-22704-7
  • Series ISSN 1431-7028
  • Edition Number 1
  • Number of Pages XII, 523
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Probability Theory and Stochastic Processes
  • Buy this book on publisher's site