Foundations of Modern Probability
About the first edition:
To sum it up, one can perhaps see a distinction among advanced probability books into those which are original and path-breaking in content, such as Levy's and Doob's well-known examples, and those which aim primarily to assimilate known material, such as Loeve's and more recently Rogers and Williams'. Seen in this light, Kallenberg's present book would have to qualify as the assimilation of probability par excellence. It is a great edifice of material, clearly and ingeniously presented, without any non-mathematical distractions. Readers wishing to venture into it may do so with confidence that they are in very capable hands.
- Mathematical Reviews
This new edition contains four new chapters as well as numerous improvements throughout the text. There are new chapters on measure Theory-key results, ergodic properties of Markov processes and large deviations.
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Estimation in Conditionally Heteroscedastic Time Series Models
Limited preview - 2005