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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Editorial Reviews
Review
"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
49 of 56 people found the following review helpful
By A Customer
Format: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.
6 of 6 people found the following review helpful
By Ilya Shutman
Format:Paperback|Amazon Verified Purchase
As many reviewers have pointed out, this book may be too advanced for a beginner student, but it is truly the best for a graduate student or anyone else with solid background in Mathematics and some knowledge of Probability. When I took the course based on this book I already covered Advanced Calculus (Rudin) and college-level Probability and Statistics (DeGroot), and I just loved this book. Ten years later I still use it; just a few weeks ago I needed to familiarize myself with Brownian bridges and it took me only 10 minutes with the book to get all I need to know - the concepts, the formulas, the applications - to the extent I could explain it to my teammates.
I wouldn't recommend this book as the introduction to probability, but for a serious student of mathematics this is a great book to further the understanding of probability and prepare for advanced studies in Stochastic Calculus.
I wouldn't recommend this book as the introduction to probability, but for a serious student of mathematics this is a great book to further the understanding of probability and prepare for advanced studies in Stochastic Calculus.
17 of 21 people found the following review helpful
By A Customer
Format: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".
Most Recent Customer Reviews
4.0 out of 5 stars
Very Mathy and Hard to Kick Start
I bought this book for a class. Honestly the book is grad school level and may appear very boring for engineering student. Nevertheless it's comprehensive and good for a reference. Read more
Published 5 months ago by ERIC WANG
1.0 out of 5 stars
This book blows
Title says it all. I'm a math graduate student in pure math, and this text is used for a graduate-level probability course in the applied math department. Read more
Published 19 months ago by Quinn Culver
3.0 out of 5 stars
A great reference book
I am a first year graduate student majoring in applied math - Statistics. Although I majored in math in undergraduate and computer science, I have been away from academic for more... Read more
Published on December 30, 2010 by Ching
3.0 out of 5 stars
Complex..
This book is slim on details and examples. It has complex ideas that I would highly suggest having a supplemental text for after the first few chapters. Read more
Published on December 10, 2009 by Basil Conway IV
5.0 out of 5 stars
Good and Timely
The book arrived even a little before the predicted arrival date (although they did seem to have erred a little on the side of caution when estimating that date in the first... Read more
Published on October 19, 2009 by Devin B. Averett
5.0 out of 5 stars
Concise and informative
I used this book for an undergraduate probability theory course, and thought it was excellent. Although it is somewhat terse and I was happy to be able to supplement it with the... Read more
Published on May 18, 2009 by Sam Brotherton
3.0 out of 5 stars
Obnoxiously Terse
Probability and Random Processes needs the following disclaimer:
-"This book is intended for only those who already know probability"
As an undergraduate enrolled... Read more
-"This book is intended for only those who already know probability"
As an undergraduate enrolled... Read more
Published on March 20, 2009 by N. Brenowitz
2.0 out of 5 stars
lack of worked examples
I found the book less attractive due to the lack of worked examples given. The book is of limited use for a person who is self studying and is dependent on the quesitons and the... Read more
Published on March 14, 2009 by Liu Yung Shang
5.0 out of 5 stars
Graduate Probability
I don't think people should degrade this book because they found it to be tough. They have to blame the person or persons who chose to use the book. Read more
Published on July 13, 2008 by Patrick Thompson
3.0 out of 5 stars
A good reference, but poor for self-instruction
As other reviews have noted, this book is terse - a quality desirable in a reference but detrimental in a guide for self-study. Read more
Published on April 12, 2008 by M. D. Edge
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