Probability and random processes

✍ Scribed by Grimmett G.R., Stirzaker D.R.

• Publisher: Oxford
• Year: 2001
• Tongue: English
• Leaves: 608
• Edition: 3ed
• Category: Library

✦ Synopsis

This book gives an introduction to probability and its many practical application by providing a thorough, entertaining account of basic probability and important random processes, covering a range of important topics. Emphasis is on modelling rather than abstraction and there are new sections on sampling and Markov chain Monte Carlo, renewal-reward, queueing networks, stochastic calculus, and option pricing in the Black-Scholes model for financial markets. In addition, there are almost 400 exercises and problems relevant to the material. Solutions can be found in One Thousand Exercises in Probability.

✦ Table of Contents

Cover......Page 1
Title......Page 2
Preface ......Page 6
Contents ......Page 8
1 Events and their Probabilities ......Page 12
2 Random Variables and their Distributions ......Page 37
3 Discrete Random Variables ......Page 57
4 Continuous Random Variables ......Page 100
5 Generating Functions and their Applications ......Page 159
6 Markov Chains ......Page 224
7 Convergence of Random Variables ......Page 316
8 Random Processes ......Page 371
9 Stationary Processes ......Page 386
10 Renewals ......Page 423
11 Queues ......Page 451
12 Martingales ......Page 482
13 Diffusion Processes ......Page 524
Appendix I Foundations and Notation ......Page 575
Appendix II Further Reading ......Page 580
Appendix III History and Varieties of Probability ......Page 582
Appendix IV John Arbuthnot's Preface to Of the laws of chance ......Page 584
Appendix V Table of Distributions ......Page 587
Appendix VI Chronology ......Page 589
Bibliography ......Page 591
Notation ......Page 594
Index ......Page 596
Back cover......Page 608