Measure, Integral and Probability is a gentle introduction that makes
measure and integration theory accessible to the average third-year
undergraduate student. The ideas are developed at an easy pace in a form
that is suitable for self-study, with an emphasis on clear explanations
and concrete examples rather than abstract theory. For this second
edition, the text has been thoroughly revised and expanded. New features
include: - a substantial new chapter, featuring a constructive proof of
the Radon-Nikodym theorem, an analysis of the structure of
Lebesgue-Stieltjes measures, the Hahn-Jordan decomposition, and a brief
introduction to martingales - key aspects of financial modeling,
discussed briefly from a measure-theoretical perspective to help the
reader understand the underlying mathematical framework.