Probability and Random Processes by Geoffrey Grimmett

Probability and Random Processes

byGeoffrey Grimmett, David Stirzaker

Paperback | July 15, 2001

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The third edition of this successful text gives a rigorous introduction to probability theory and the discussion of the most important random processes in some depth. It includes various topics which are suitable for undergraduate courses, but are not routinely taught. It is suitable to thebeginner, and provides a taste and encouragement for more advanced work. There are four main aims: 1) to provide a thorough but straightforward account of basic probability, giving the reader a natural feel for the subject unburdened by oppressive technicalities, 2) to discuss important randomprocesses in depth with many examples. 3) to cover a range of important but less routine topics, 4) to impart to the beginner the flavour of more advanced work. The books begins with basic ideas common to many undergraduate courses in mathematics, statistics and the sciences; in concludes withtopics usually found at graduate level. The ordering and numbering of material in this third edition has been mostly preserved from the second. Minor alterations and additions have been added for clearer exposition. Highlights include new sections on sampling and Markov chain Monte Carlo,geometric probability, coupling and Poisson approximation, large deviations, spatial Poisson processes, renewal-reward, queueing networks, stochastic calculus, Ito's formula and option pricing in the Black-Scholes model for financial markets. In addition there are many (nearly 400) new exercises andproblems that are entertaining and instructive; their solutions can be found in the companion volume 'One Thousand Exercises in Probability', (OUP 2001).

About The Author

Geoffrey Grimmett is at Statistical Laboratory, University of Cambridge. David Stirzaker is at Mathematical Institute, Oxford University.
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Details & Specs

Title:Probability and Random ProcessesFormat:PaperbackDimensions:608 pages, 9.45 × 6.61 × 1.22 inPublished:July 15, 2001Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198572220

ISBN - 13:9780198572220

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Table of Contents

1. Events and their probabilities2. Random variables and their distribution3. Discrete random variables4. Continuous random variables5. Generating functions and their applications6. Markov chains7. Convergence of random variables8. Random processes9. Stationary processes10. Renewals11. Queues12. Martingales13. Diffusion processesAppendicesBibliographyList of notationIndex

Editorial Reviews

"Since its first appearance in 1982, Probability and Random Processes has been a landmark book on the subject and has become mandatory reading for any mathematician wishing to understand chance.It is aimed mainly at final-year honours students and graduate students, but it goes beyond thislevel, and all serious mathematicians and academic libraries should own a copy ... the companion book of exercises is cleverly conceived and ... form(s) a perfect complement to the main text. " Times Higher Education Supplement