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Cover

Probability and Random Processes

Fourth Edition

Geoffrey Grimmett and David Stirzaker

July 2020

ISBN: 9780198847595

688 pages
Paperback
246x171mm

In Stock

Price: £40.00

Probability is a core topic in science and life. This successful self-contained volume leads the reader from the foundations of probability theory and random processes to advanced topics and it presents a mathematical treatment with many applications to real-life situations.

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Description

Probability is a core topic in science and life. This successful self-contained volume leads the reader from the foundations of probability theory and random processes to advanced topics and it presents a mathematical treatment with many applications to real-life situations.

  • This latest revision of this successful textbook provides a comprehensive introduction to probability and random processes
  • Suitable and accessible for mathematics undergraduates and postgraduates, regardless of background
  • Moves from basic mathematical ideas to advanced topics including Markov processes, martingales and diffusions

New to this edition

  • 300 new exercises and problems, with over 1300 in total
  • New sections on coupling from the past, Lévy processes, self-similarity and stability, time changes, and the holding-time/jump-chain construction of continuous-time Markov chains

About the Author(s)

Geoffrey Grimmett, Director of Research and Professor Emeritus of Mathematical Statistics, University of Cambridge, and David Stirzaker, Professor Emeritus, Mathematical Institute, University of Oxford

Geoffrey Grimmett is Professor Emeritus of Mathematical Statistics at the University of Cambridge. Cambridge has been his base for pursuing probability theory and the mathematics of disordered systems since 1992. He was Master of Downing College, Cambridge from 2013-2018 and has been appointed Chair of the Heilbronn Institute for Mathematical Research from 2020. He has written numerous research articles in probability theory and statistical mechanics, as well as three research books. With David Stirzaker and Dominic Welsh respectively, he has co-authored two successful textbooks on probability and random processes at the undergraduate and postgraduate levels.

David Stirzaker was educated at Oxford University and Berkeley before being appointed as Fellow and Tutor in Applied Mathematics at St John's College, Oxford. He is now an Emeritus Research Fellow at St John's College, and an Emeritus Professor at the Mathematical Institute, Oxford. He has written five textbooks on probability and random processes, two of them jointly with Geoffrey Grimmett. Most recently, (2015), he has written The Cambridge Dictionary of Probability and its Applications.

Table of Contents

    1:Events and their probabilities
    2:Random variables and their distributions
    3:Discrete random variables
    4:Continuous random variables
    5:Generating functions and their applications
    6:Markov chains
    7:Convergence of random variables
    8:Random processes
    9:Stationary processes
    10:Renewals
    11:Queues
    12:Martingales
    13:Diffusion processes

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 this level, and all serious mathematicians and academic libraries should own a copy ... the companion book of exercises is cleverly conceived and ... forms a perfect complement to the main text." - Times Higher Education Supplement

"Review from previous edition...a full and comprehensive account of (almost all) the probability theory and stochastic processes one could hope to teach to undergraduates.... As well as its masterful coverage of the material, the book has many appealing stylistic features ... extremely valuable in finding good proofs of theorems which are dealt with rather cursorily in other textbooks." - The Mathematical Gazette

"One of the strong features of the book is its large collection of interesting exercises, which has been greatly expanded in this new edition so that there are now over one thousand. These are conveniently collected together in a separate volume that includes full solutions." - Biometrics