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References M1 For DTSP

This document provides references for learning probability theory, including measure theory basics, the Radon-Nikodym theorem, and problem sets. It recommends textbooks by Jacod and Protter and Shiryaev and Boas, as well as video series and individual videos from "The Bright Side of Mathematics" YouTube channel that explain concepts such as sigma algebras, Borel sigma algebras, measures, Lebesgue measurability, and the Lebesgue integral. Links are also included to a video providing an intuitive example of the Radon-Nikodym theorem and a math.stackexchange discussion on understanding an example of the theorem. Problem sets from the referenced textbooks are suggested for additional practice.

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81 views1 page

References M1 For DTSP

This document provides references for learning probability theory, including measure theory basics, the Radon-Nikodym theorem, and problem sets. It recommends textbooks by Jacod and Protter and Shiryaev and Boas, as well as video series and individual videos from "The Bright Side of Mathematics" YouTube channel that explain concepts such as sigma algebras, Borel sigma algebras, measures, Lebesgue measurability, and the Lebesgue integral. Links are also included to a video providing an intuitive example of the Radon-Nikodym theorem and a math.stackexchange discussion on understanding an example of the theorem. Problem sets from the referenced textbooks are suggested for additional practice.

Uploaded by

vikrant
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References for DTSP – M1: Probability Theory

Please, remember that these references are just to provide you with extra resources and examples,
they are no substitute of the main course note by any means.

- Measure Theory Basics (sigma algebra, Borel sigma algebra, etc.).


o You have a basic approach to this in the reference books, e.g.:
§ Chapters 1 and 2 in Jacod and Protter, Probability Essentials, Springer, 2004.
§ Chapters 1 and 2 in Shiryaev and Boas, Probability, Springer, Vol 95.

o You can check out these series of videos from ‘The Bright Side of Mathematics’ in
YouTube (you will find more helpful videos in the channel although I do not explicitly
refer to them):
§ For sigma algebra basics:
https://www.youtube.com/watch?v=xZ69KEg7cc
§ For Borel sigma algebra:
https://www.youtube.com/watch?v=z5m6HXKx0Wo
§ For measures (Counting, Dirac, Lebesgue):
https://www.youtube.com/watch?v=7O7qPrNIt7w
§ For Lebesgue measurability:
https://www.youtube.com/watch?v=Ur3ofJ61bpk
§ For map/set measurability:
https://www.youtube.com/watch?v=11heoNVavvM
§ For Lebesgue integral:
https://www.youtube.com/watch?v=TG67nsccqeQ
§ For Lebesgue dominated convergence:
https://www.youtube.com/watch?v=eu-6_wpTE-A

- Radon-Nikodyn theorem (aka Change of measure).


o This 10-min video can give you an intuition on why R-N is going to be useful with an easy
example:
https://www.youtube.com/watch?v=dG6qQo3HFGY

o Another example of R-N theorem in math.stackexchange.com (btw, nice forum to share


technical doubts on virtually everything), with a discussion of some doubts by the
original poster and a couple of explanations:
https://math.stackexchange.com/questions/2728955/understanding-this-
example-explanation-of-the-radon-nikodym-derivative

- You can also check problem sets in the books mentioned in the references:
o Jacob and Protter, Prob. Essentials, 2nd Ed., 2004 à Problems sets for Ch. 2 and
(marginally) Ch. 3.
§ Helpful note: If you google “Solutions of Selected Problems from Probability
Essentials Jacod and Protter” you will find a .pdf with solutions for a selected
number of exercises in the problem sets. I have only managed to find solutions
for a selected number of exercises, maybe you are able to find the complete
solution book.

o Shiryaev and Boas, Probability, vol95 à Problems Ch.1 (p.16-17) (I have not managed
to find solutions on this one, you may try)

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