This completely revised text provides a simple but rigorous introduction to probability. It discusses a wide range of random processes in some depth with many examples, and gives the beginner some flavor of more advanced work, by suitable choice of material. The book begins with basic material commonly covered in first-year undergraduate mathematics and statistics courses, and finishes with topics found in graduate courses. Important features of this edition include new and expanded sections in the early chapters, providing more illustrative examples and introducing more ideas early on; two new chapters providing more comprehensive treatment of the simpler properties of martingales and diffusion processes; and more exercises at the ends of almost all sections, with many new problems at the ends of chapters. The companion volume Probability and Random Processes: Problems and Solutions includes complete worked solutions to all exercises and problems of this edition. This proven text will be useful for mathematics and natural science undergraduates at all levels, and as a reference book for graduates and all those interested in the applications of probability theory.
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Geoffrey Grimmett is at Statistical Laboratory, University of Cambridge. David Stirzaker is at Mathematical Institute, Oxford University.Review:
"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
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