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.
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"Since its first appearance in 1982, Probability and Random Processes has been a landmark book on the subject and has become mandatory reading for any mathematician wishing to understand chance.It is aimed mainly at final-year honours students and graduate students, but it goes beyond this level, and all serious mathematicians and academic libraries should own a copy ... the companion book of exercises is cleverly conceived and ... form(s) a perfect complement to the main text. " Times Higher Education Supplement
About the Author
Geoffrey Grimmett is at Statistical Laboratory, University of Cambridge. David Stirzaker is at Mathematical Institute, Oxford University.
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Most Helpful Customer Reviews
40 of 47 people found the following review helpful:
5.0 out of 5 stars
Actually this is a very good book for learning,
By A Customer
This review is from: Probability and Random Processes (Paperback)
I mostly agree with the positive reviews of the 3rd edition of Grimmett & Stirzaker's *Probability and Random Processes.* I wanted to address the criticism by the previous reviewer and add some detail regarding the 3rd edition (I suspect that the prior reviews might be based on the 1st 2 editions of the book).(1) The prior reviewer might have a point in that this book may not have as many exercises and examples that are worked out to be helpful to the learner. However, this is because there is a companion book -- *One Thousand Exercises in Probability* (2nd ed.) -- that is designed to provide those examples and exercises. That book contains the answers/solutions to each and every exercise posed in that book. That book also closely follows the topics of this book. Together, those 2 books by Grimmett & Stirzaker should meet all of the requirements for self-studiers of probability theory. [Really, the 2 books should be seen as a set.] (2) The 3rd edition of this book (along with exercises/answer book) cover a wide range of topics from probability starting from basics and going up to applications like queueing, Monte Carlo & Markov Chain Monte Carlo, Ito's Lemma & financial option valuation, etc. In short, this set of books should enable the sufficiently motivated to go from basic probability to a point where they can approach useful problems in applied probability (rather than toy problems offered by other books which, by the way, don't usually give the answers). (3) Stirzaker (Oxford) has one of the best approaches to thinking about probability that I have ever come across. It is well worth it to expose oneself to his viewpoint.
15 of 19 people found the following review helpful:
3.0 out of 5 stars
Too advanced for beginner,
By A Customer
This review is from: Probability and Random Processes (Paperback)
I think this book is good but very difficult to read. If you are beginners of probability, I suggest read other books like Sheldon Ross's "First Course in Probability" or "Introduction to Probability Models".
20 of 27 people found the following review helpful:
5.0 out of 5 stars
very good for self study,
By Timothy McBabe (germany) - See all my reviews
This review is from: Probability and Random Processes (Paperback)
I'm using the book as a fourth year economics student, so I already have some knowledge about probability (a very good introduction is by deGroot, probability and statistics). it is not appropriate to give the book a bad review just because it is too advanced for some reader.
so I'm writing this "review" to emphasise that the book is very good for self study even if you can't understand every single example. it may take some time (if not then you are studying stuff you already know which is not good) but it really teaches you about probability.
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