Probability and Random Processes
Fourth Edition
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Product details:
- Edition number 4
- Publisher OUP Oxford
- Date of Publication 16 July 2020
- ISBN 9780198847595
- Binding Paperback
- No. of pages688 pages
- Size 244x174x28 mm
- Weight 1190 g
- Language English 87
Categories
Short description:
Probability is a core topic in science and life. This successful self-contained volume leads the reader from the foundations of probability theory and random processes to advanced topics and it presents a mathematical treatment with many applications to real-life situations.
MoreLong description:
The fourth edition of this successful text provides an introduction to probability and random processes, with many practical applications. It is aimed at mathematics undergraduates and postgraduates, and has four main aims.
US BL To provide a thorough but straightforward account of basic probability theory, giving the reader a natural feel for the subject unburdened by oppressive technicalities. BE BL To discuss important random processes in depth with many examples.BE BL To cover a range of topics that are significant and interesting but less routine. BE BL To impart to the beginner some flavour of advanced work.BE UE
OP The book begins with the basic ideas common to most undergraduate courses in mathematics, statistics, and science. It ends with material usually found at graduate level, for example, 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. Further, in this new 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. Finally, the number of exercises and problems has been increased by around 300 to a total of about 1300, and many of the existing exercises have been 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).CP
Features of PRP include brief but helpful motivational introductions to each subsection, and copious references to historical applications. To aid navigation, definitions, theorems and other key results are highlighted, using three different colours. The tone throughout is rigorous but the touch is human ...
Table of Contents:
Events and their probabilities
Random variables and their distributions
Discrete random variables
Continuous random variables
Generating functions and their applications
Markov chains
Convergence of random variables
Random processes
Stationary processes
Renewals
Queues
Martingales
Diffusion processes
