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Probability and Random Processes: fourth edition


Probability and Random Processes: fourth edition Geoffrey Grimmett, David Stirzaker

The fourth edition of this successful text provides an introduction to probability and random processes, with many practical applications. It is aimed at undergraduate and graduate students in mathematics and has four main objectives.

To provide a thorough but straightforward account of basic probability theory, giving the reader a natural feel for the subject, freed from overwhelming technicalities. BE BL To discuss important random processes in depth with many examples.BE BL To cover a range of topics that are meaningful and interesting but less routine.BE BL To give the beginner some flavor of advanced work.

The book begins with the basic ideas common to most undergraduate courses in mathematics, statistics, and science. It ends with material usually found at the graduate level, e.g. Markov processes, (including the Markov Monte Carlo chain), martingales, queues, diffusions (including stochastic calculus with Itô’s formula), renovations, stationary processes (including the ergodic theorem), and option pricing in mathematical finance using the Black-Scholes formula.

In addition, this new revised 4th edition includes sections on past feedback, Lévy processes, self-similarity and stability, time changes, and the construction of Markov chains with hold / jump time. Eventually, the number of exercises and problems was increased by approximately 300 to a total of approximately
1,300, and many of the exercises so far have been refreshed with additional parts.

About the author

Geoffrey Grimmett, Director of Research and Professor Emeritus, Mathematical Statistics, University of Cambridge, 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 disordered systems mathematics since 1992.

He was a Masters from Downing College, Cambridge from 2013-2018 and was appointed Chair of the Heilbronn Institute for Mathematical Research from 2020. He has authored numerous research articles in probability theory and statistical mechanics as well as three research books. He is the co-author of two successful textbooks on probability, with David Stirzaker and Dominic Welsh and random processes at the undergraduate and postgraduate levels.

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


"Since its first appearance in 1982 Probability and Random Processes has been a foundational book on the subject and has become a must-read for any mathematician who wishes to understand the case. It is aimed primarily at undergraduate and graduate students, but goes beyond this level, and all serious mathematicians and academic libraries should have a copy ... the accompanying workbook is intelligently designed and ... makes a perfect complement to the main text." - Times Higher

Education Supplement

"Review from the previous edition ... a complete and comprehensive account of (almost) probability theory and stochastic processes that one could hope to teach undergraduates ... In addition to its masterful coverage of the material, the book has many interesting stylistic features ... of extreme value in
find good proofs of theorems that are treated rather superficially in other textbooks. "
- The Mathematical Gazette

"One of the book's strong points is its large collection of interesting exercises, which has been greatly expanded in this new edition, now numbering over a thousand. These are conveniently collected in a separate volume containing complete solutions." - Biometrics

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