Probability and Random Processes
Professor of Mathematical Statistics Geoffrey Grimmett; Mathematical Institute David R Stirzaker; Statistical Laboratory Geoffrey R Grimmett
Oxford University Press, USA
9780198572220
0-19-857222-0
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.