MAS 350/451/6352
Measure and Probability: Booklist
Although none of the books listed below cover the course as a whole, they may be helpful in
clarifying your understanding of specific topics.
1) Books on Measure Theory and Lebesgue Integration.
Donald L. Cohn, Measure Theory, Birkhauser (1980)
This is my favourite book on the topic. It’s maybe a little advanced for MAS350 but it is very
comprehensive. [3B 517.29 (C)]
Terence Tao, An Introduction to Measure Theory, American Mathematical Society (2011)
A new book by a Fields medal winning mathematician. It’s based on a graduate course so is
again, quite high level. [515.42 (T)]
Rene Schilling, Measures, Integrals and Martingales, Cambridge University Press (2005)
This is based on a comprehensive undergraduate course. It takes a different approach to me to
some of the topics. [515.42 (S)]
2) Books on Measure Theory and Probability
Malcolm Adams and Victor Guillemin, Measure Theory and Probability, Birkhauser (1996)
I like this book very much and used it extensively in writing my course. In particular, Chapter
3 on Lebesgue integration is based very closely on the account in here. [515.42 (A)]
Jeffery S. Rosenthal, A First Look at Rigorous Probability, World Scientific (2000)
A very nice book that develops minimal measure theory in order to do probability theory
properly. I used this book a lot for writing Chapter 4. [519.2 (R)] (*)
D. Williams, Probability with Martingales, Cambridge University Press (1991).
This is a classic book by one of the leading UK probabilists of the second half of the 20th
century. Part A is relevant to this course. My treatment of the central limit theorem in Chapter
4 is based on that given here. [519.236 (W)] (**)
Patrick Billingsley, Probability and Measure, John Wiley and Sons (1979)
A classic text and one of the first to systematically treat probability and measure together.
Perhaps a little advanced for this course. [519.2 (B)]
All books in Western Bank library except (*) Information Commons and (**) in both.