Probability and Random Processes: Geoffrey Grimmett
- Oxford University Press

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Companion volume available One Thousand Exercises in Probabilty

Includes both theory and examples

New sections on Markov chain Monte Carlo, coupling and its applications, geometrical probability, spatial Poisson processes, Stochastic calculus and the Itô integral, Itô's formula and applications (including the Black-Scholes formula), networks of queues, and renewal-reward theorems and applications.

A separate volume including worked solutions to the problems and exercises will be available.

More up to date and wide-ranging and wide ranging

Self contained

Minimal prerequisites (basic algebra and calculus)

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 the beginner, 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 random processes 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 with topics 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, Itô's formula and option pricing in the Black-Scholes model for financial markets. In addition there are many (nearly 400) new
exercises and problems that are entertaining and instructive; their solutions can be found in the companion volume 'One Thousand Exercises in Probability', (OUP 2001).

Readership: Introductory, intermediate and advanced courses in probability and random (stochastic) processes at undergraduate and postgraduate level.

Geoffrey Grimmett, Statistical Laboratory, University of Cambridge, and David Stirzaker, Mathematical Institute, University of Oxford

"... aims to be a full and comprehensive account of (almost all) the probability theory and stochastic processes one could hope to teach to undergraduates ... Much new material has been included in this third edition to reflect recent developments in the subject ... 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 exercises. These are conveniently collected
together in a separate volume that includes full solutions." - Biometrics

"As well as its masterful coverage of the material, the book has many appealing stylistic features." - Mathematical Gazette

"This is definitely one of my favourites as a textbook ... a wealth of interesting teaching material at all levels." - Short Book Reviews of the ISI

"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 ... form(s) a perfect complement to the main text." - Times Higher Education Supplement

1: Events and their probabilities
2: Random variables and their distribution
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
Appendices
Bibliography
List of notation
Index

The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.