Probability and Random Processes

This fourth edition of a successful text provides an introduction to probability and random processes,with many practical applications. It is aimed at mathematics undergraduates and postgraduates and covers a range of topics that are significant and interesting but less routine. It also includes 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.

\n Format: Paperback / softback
\n Length: 688 pages
\n Publication date: 16 July 2020
\n Publisher: Oxford University Press
\n

This fourth edition of a popular text offers an introduction to probability and random processes, with numerous practical applications. It is designed for mathematics undergraduates and postgraduates, with four main objectives:

To provide a comprehensive yet accessible account of fundamental probability theory, offering a intuitive understanding of the subject without overwhelming technicalities.

To delve into important random processes in depth, providing numerous examples to facilitate comprehension.

To cover a range of topics that are significant and interesting but less commonly encountered.

To impart an appreciation of advanced work to beginners.

The book begins with the foundational concepts shared by most undergraduate courses in mathematics, statistics, and science. It concludes with material typically found at the graduate level, such as 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. Additionally, in this 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. Furthermore, the number of exercises and problems has been significantly increased to approximately 1,300, with many existing exercises refreshed by additional parts. The solutions to these exercises and problems can be found in the companion volume, One Thousand Exercises in Probability, third edition (OUP 2020).

\n Weight: 1186g\n
Dimension: 173 x 244 x 33 (mm)\n
ISBN-13: 9780198847595\n
Edition number: 4 Revised edition\n