A placeholder where I mention some things I occasionally refer people to or have been referred to, but forget the reference for.
Terry Tao, and his Neat Probability Hacks for Dummies
I wonder if I shoud split off the exchangeability related references? I recently had my interest in that stuff piqued by Said Syed. However, I don’t think it’s likely I’ll be finding time for a deep understanding any time soon.
- Aldo81: Aldous, D. J. (1981) Representations for partially exchangeable arrays of random variables. Journal of Multivariate Analysis, 11(4), 581–598. DOI
- Aldo85: Aldous, D. J. (1985) Exchangeability and related topics. In D. J. Aldous, I. A. Ibragimov, J. Jacod, & P. L. Hennequin (Eds.), École d’Été de Probabilités de Saint-Flour XIII — 1983 (pp. 1–198). Springer Berlin Heidelberg
- Appl09: Applebaum, D. (2009) Lévy processes and stochastic calculus (2nd ed.). Cambridge ; New York: Cambridge University Press
- Baud14: Baudoin, F. (2014) Diffusion processes and stochastic calculus. Zurich, Switzerland: European Mathematical Society
- CSYJ19: Campbell, T., Syed, S., Yang, C.-Y., Jordan, M. I., & Broderick, T. (2019) Local Exchangeability.ArXiv:1906.09507 [Math, Stat].
- DiFr80: Diaconis, P., & Freedman, D. (1980) De Finetti’s Theorem for Markov Chains.The Annals of Probability, 8(1), 115–130. DOI
- Peng07: Peng, S. (2007) G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type.In F. E. Benth, G. Di Nunno, T. Lindstrøm, B. Øksendal, & T. Zhang (Eds.), Stochastic Analysis and Applications (pp. 541–567). Berlin, Heidelberg: Springer Berlin Heidelberg DOI