Author Description

This completely revised text provides a simple but rigorous introduction to probability. It discusses a wide range of random processes in some depth with many examples, and gives the beginner some flavor of more advanced work, by suitable choice of material. The book begins with basic material commonly covered in first-year undergraduate mathematics and statistics courses, and finishes with topics found in graduate courses. Important features of this edition include new and expanded sections in the early chapters, providing more illustrative examples and introducing more ideas early on; two new chapters providing more comprehensive treatment of the simpler properties of martingales and diffusion processes; and more exercises at the ends of almost all sections, with many new problems at the ends of chapters. The companion volume Probability and Random Processes: Problems and Solutions includes complete worked solutions to all exercises and problems of this edition. This proven text will be useful for mathematics and natural science undergraduates at all levels, and as a reference book for graduates and all those interested in the applications of probability theory.