Product Description

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).

Product Details

• Amazon Sales Rank: #48617 in Books
• Published on: 2001-05-31
• Original language: English
• Number of items: 1
• Binding: Paperback
• 608 pages

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

Review
... 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 )

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

Customer Reviews

Very well written and wide ranging
This is a serious textbook, extremely well written, and not for the fainthearted. Buy the companion book with the solutions to the problems unless you have a tutor or are taking a course. As an engineer who uses maths as a means to an end, I'm finding it hard going, but well worth the effort.

If you just want a cookbook of algorithms, look elsewhere. But if you're willing to take some time, I'd recommend this.

Excellent and up-to-date.
This book is too fast-paced for most beginning undergraduates, but is excellent for honours students in mathematics and statistics. It is also the best book I have seen for research students in mathematics or statistics and an excellent resource for anyone doing research in mathematics, statistics, economics, operational research or computing who needs a thorough, up-to-date text on probability theory.

The book starts with five chapters on standard probability theory and then covers a variety of topics of interest to a wider audience. These include Markov processes and queueing theory, stationary processes, martingales and diffusion processes. It covers succinctly topics such as brownian motion, the Black-Scholes equation, Markov chain Monte Carlo and the Metropolis algorithm. Even topics such as Erdos' probabalistic method are covered in the exercises.

There are lots of entertaining and helpful comments about the problems and history of probabilty. The exercises are interesting and instructive.

I would have liked some more references in the text to help follow up some of the methods described.

This is not a quick reference book.
I was looking for a desktop reference book to provide some background information on the probability distributions that I needed in my modelling work. This book does not provide easily accessible information, unless you are familiar with the language of set theory.

The biggest complaint I have, is the fact the exercises in the book have no solutions; to get the solutions you have to purchase their other book One Thousand Exercises in Probability...