Probability and Random Processes

by Geoffrey R. Grimmett, David Stirzaker

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 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.

Genres: Mathematics, Textbooks, Science, Reference

554 pages, Paperback

First published September 1, 1982

Reviews

[Nick Black · Rating 3 out of 5]

Our book for MATH 3220 -- Honors Probability and Statistics. While it's just as poorly written as any other undergraduate stochastics book, it's at least got very thorough coverage and a basis in rigorous measure theory. If you're not using measure theory, you're not doing probability, and should slowly back away from the model until you've integrated the Lebesgue into your gestalt.

[Ludwig · Rating 3 out of 5]

a good book which covers maths of probability and random variable.

I borrowed from the library because I was doing MCMC lab. Unfortunately, it turned out I didn't manage to do a good job because I got too much to (re)learn in two weeks and I was in bad mood. So today's challenge was to finish this book on the train - nice/shamful to see how little I know and how much I have to learn!

[Elchin Jafarov · Rating 4 out of 5]

Very good book but definetly not for beginners. If you want to enjoy reading and studying this one, first consider learning from more introductory books in probability and statistics.

[Qubitng · Rating 4 out of 5]

Far too difficult as a standard course in undergraduate probability. Some of the exercises have an indulgent/non-instructive feel to them; for example, the very first exercise in section 4.14 is to find \int^{\infty}_{-\infty} e^{-x^2} dx. No hint provided. Seriously? This exercise has no instructive purpose other than to force you to look the answer up if you don't already know the trick.

Instead the breadth of topics and the extensive number of exercises make this book worthwhile for grad students and advanced undergrads. 4 stars (0.5 stars if used as first course in undergrad probability).

[dead letter office · Rating 3 out of 5]

the best intro graduate level text i know on probability (and it's not really that great).

[Jeff · Rating 3 out of 5]

The content is good, but dense, particularly if it's your first introduction to probability. Should definitely get the companion book containing all the exercises and their solutions.