Probability and random processes

by Grimmett, Geoffrey R.

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Title Statements

Full title :Probability and random processes / Geoffrey R. Grimmett, David R. Stirzaker.

Summary

The fourth edition of this successful text provides an introduction to probability and random processes, with many practical applications. It is aimed at mathematics undergraduates and postgraduates, and has four main aims.The book begins with the basic ideas common to most undergraduate courses in mathematics, statistics, and science. It ends with material usually found at graduate level, for example, Markov processes, (including Markov chain Monte Carlo), martingales, queues, diffusions, (including stochastic calculus with Itô's formula), renewals, stationary processes (including the ergodic theorem), and option pricing in mathematical finance using the Black-Scholes formula. Further, in this new revised fourth edition, there are 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. Finally, the number of exercises and problems has been increased by around 300 to a total of about 1322, and many of the existing exercises have been refreshed by additional parts.

Edition Statements

Publication Date:2020
Edition:4th Edition

Publication Statements

Publisher(s):Oxford University Press
Place of Publication:New York
Language:eng
Publication Date:2020

Notes

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.