Probability and Random Processes, Third Edition

by Geoffrey Grimmett and David Stirzaker

Published in May 2001 by Oxford University Press.

What's new?

• Reorganization and expansion of certain material.
• Addition of many new exercises and problems.
• Inclusion of new sections on material including:
  • sampling and Markov chain Monte Carlo,
  • coupling and its applications,
  • geometrical probability,
  • spatial Poisson processes,
  • stochastic calculus and the Ito integral,
  • Ito's formula and applications,
  • option pricing in the Black-Scholes model,
  • networks of queues,
  • renewal-reward theorems and applications.

The solutions to all exercises and problems have been written up in the companion volume One Thousand Exercises in Probability, also published by Oxford University Press in May 2001.

The copyright of all linked material rests with the authors.

List of Contents

Preface

Revised pages

Typos: Thm 6.2.9, should be `state i'; Exercise 5.11.2 should have 2 in the numerator of the first display.