An Introduction

to . Probability Theory
and Its Applications
WILLIAM FELLER (1906-'1970)
Eugene Higgins Professor of Mathematics
Princeton University
VQLUME II
Preface to the First Edition
AT THE TIME THE FIRST VOLUME OF THIS BOOK WAS WRITTEN (BETWEEN 1941
and 1948) the intere~t in prQbability was nQt yet widespread. Teaching was
Qn a very limited scale and tQpics such as :MarkQv chains, which are nQW
extensively used in several disciplines, were highly specialized chapters Qf
pure mathematics. The first vQlume may therefQre be likened to. an allpurpQse
travel guide to. a strange cQuntry. To. describe the nature Qf
prQbability it had to. stress the mathematical CQntent Qf the theQry as well
as the surprising variety Qf PQtential applicatiQns. It was predicted that
the ensuing fluctuatiQns in the level Qf difficulty WQuld limit the usefulness
Qf the bQQk. In reality it is widely used even tQday, when its nQvelty has
WQrn Qff and its attitude and material are available in newer bQQks written
fQr special purpQses. The bQQk seems even to. acquire new friends. The
fact that laymen are nQt deterred. by passages which prQved difficult to.
students Qf mathematics shQWS that the level Qf difficulty cannQt be measured
Qbjectively; it depends Qn the type Qf infQrmatiQn Qne seeks and the details
Qne is prepared to. skip. The traveler Qften has the chQice between climbing'
a peak Qr using a cable car.
In view .Qf thi~ success the secQnd vQlume is written in the same style.
It invQlve$ harder mathematics, but mQst Qf the text can be read Qn different
levels. The handling Qf measure theQry may illustrate this PQint. Chapter
IV cQntains an infQrmal intrQductiQn to. the basic ideas Qf measure theQry
and the cQnceptual fQundatiQns Qf prQbability. The same chapter lists the
fe~ facts Qf measure theQry used in the subsequent chapters to. fQrmulaie .
analytical theQrems in their simplest fQrm and to. aVQid futile discussiQns Qf
regularity conditiQns. The main functiQn Qf measure theQry in this cQnnectiQn
is to. justify fQrmal QperatiQns and passages to the limit that WQuld never be
. questiQned by a nQn-mathematician. Readers interested primarily in practical
results will therefQre nQt feel any need fQr measure theQry.
To. facilitate access to. the individual tQpics the chapters are rendered as
self-cQntained as PQssible, and sQmetimes special cases are treated separately
ahead Qf the general theQry. VariQus tQpics (such as stable distributiQns and
renewal theQry) are discussed at several places frQm different angles. To.
aVQid repetitiQns, the definitiQns and' illustrative examples are cQllected in
vii