5.0 out of 5 stars A gem April 28, 2013

By N N Taleb

Format:Paperback

I know which books I value when I end up buying a second copy after losing the first one. This book gives a complete overview of the basis of probability theory with some grounding in measure theory, and presents the main proofs. It is remarkable because of its concision and completeness: visibly prof Varadhan lectured from these notes and kept improving on them until we got this gem. There is not a single sentence too many, yet nothing is missing.

For those who don’t know who he is, Varadhan stands as one of the greatest probabilists of all time. Learning probability from him is like learning from Aristotle.

Varadhan has two other similar volumes one covering stochastic processes the other into the theory of large deviations (though older than this current text). The book on Stochastic Processes should be paired with this one.

HatTip to Dave Lull
via Probability Theory (Courant Lecture Notes): S. R. S. Varadhan: 9780821828526: Amazon.com: Books.