Fundamentals of Probability
We assume that the reader is already familiar with the basic motivations and notions of probability theory. In this chapter we recall the main mathematical concepts, methods, and theorems according to the Kolmogorov approach (see Kolmogorov (1956)), by using as a main reference the book by Métivier (1968). We shall refer to appendix A of this book for the required theory on measure and integration.
KeywordsCharacteristic Function Random Vector Probability Space Independent Random Variable Conditional Expectation
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