Exercises in Probability
A Guided Tour from Measure Theory to Random Processes, via Conditioning

Derived from extensive teaching experience in Paris, this book presents 100 exercises in probability. The exercises cover measure theory and probability, independence and conditioning, Gaussian variables, distributional computations, convergence of random variables and an introduction to random processes. For each exercise the authors have provided a detailed solution as well as references for preliminary and further reading. There are also many insightful notes that set the exercises in context. Students will find these exercises extremely useful for easing the transition between simple and complex probabilistic frameworks. Indeed, many of the exercises here will lead the student on to the frontier of research topics in probability. Along the way, attention is drawn to a number of traps into which students of probability often fall. This book is ideal for independent study or as the companion to a course in advanced probability theory.

L. Chaumont and M. Yor
Universit´e Pierre et Marie Curie, Paris VI

First published 2003
Third printing, with corrections, 2005
Cambridge University Press.