Measures, Integrals and Martingales

This is a concise and elementary introduction to contemporary measure and integration t
heory as it is needed in many parts of analysis and probability theory. Undergraduate calculus and an introductory course on rigorous analysis are the only essential prerequisites, making this text suitable for both lecture courses and for self-study. Numerous illustrations and exercises are included to consolidate what has already been learnt and to discover variants and extensions to the main material. Hints and solutions can be found on the authors website, which can be reached from www.cambridge.org/ 9780521615259.