Probability and random processes

By:

Grimmett, Geoffrey R

Contributor(s):

Stirzaker, David [Co-author]

Publication details: Oxford University Press, 2020 Oxford:Edition: 4th edDescription: xii, 669p.; pbk; 25cmISBN:

9780198847595

Subject(s):

DDC classification:

519.2 GRI

Summary: The fourth edition of this successful text provides an introduction to probability and random processes, with many practical applications.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. https://global.oup.com/academic/product/probability-and-random-processes-9780198847601?cc=in&lang=en&#

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Books	IIT Gandhinagar	General	519.2 GRI (Browse shelf(Opens below))	1	Available		032674

Includes index and references

The fourth edition of this successful text provides an introduction to probability and random processes, with many practical applications.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.

https://global.oup.com/academic/product/probability-and-random-processes-9780198847601?cc=in&lang=en&#

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