Measures, Integrals and Martingales - Softcover

Review of previous edition: '... thorough introduction to a wide variety of first-year graduate-level topics in analysis ... accessible to anyone with a strong undergraduate background in calculus, linear algebra and real analysis.' Zentralblatt MATH

Review of previous edition: 'The author truly covers a wide range of topics ... Proofs are written in a very organized and detailed manner ... I believe this to be a great book for self-study as well as for course use. The book is ideal for future probabilists as well as statisticians, and can serve as a good introduction for mathematicians interested in measure theory.' Ita Cirovic Donev, MAA Reviews

Review of previous edition: '... succeeds in handling the technicalities of measure theory, which is traditionally regarded as dry and inaccessible to students (and, I think, the most difficult material that I have taught at undergraduate level) with a light touch. The book is eminently suitable for a course (or two) for good final-year or first-year post-graduate students and has the potential to revitalize the way that measure theory is taught.' N. H. Bingham, Journal of the Royal Statistical Society

Review of previous edition: 'This book will remain a good reference on the subject for years to come.' Peter Eichelsbacher, Mathematical Reviews

Review of previous edition: '... this well-written and carefully structured book is an excellent choice for an undergraduate course on measure and integration theory. Most good books on measure and integration are graduate books and, therefore, are not optimal for undergraduate courses ... This book is aimed at both (future) analysts and (future) probabilists, and is therefore suitable for students from both these groups.' Filip Lindskog, Royal Institute of Technology, Journal of the American Statistical Association

A concise yet elementary introduction to measure and integration theory, which are vital in many areas of mathematics, including analysis, probability, mathematical physics and finance. In this highly successful textbook, core ideas of measure and integration are explored, and martingales are used to develop the theory further. Other topics are also covered such as Jacobi's transformation theorem, the Radon–Nikodym theorem, differentiation of measures and Hardy–Littlewood maximal functions. In this second edition, readers will find newly added chapters on Hausdorff measures, Fourier analysis, vague convergence and classical proofs of Radon–Nikodym and Riesz representation theorems. All proofs are carefully worked out to ensure full understanding of the material and its background. Requiring few prerequisites, this book is suitable for undergraduate lecture courses or self-study. Numerous illustrations and over 400 exercises help to consolidate and broaden knowledge. Full solutions to all exercises are available on the author's webpage at www.motapa.de.