Theory of probability and random processes. (Q2384377)

The book is divided into two parts, `Probability Theory' and `Random Processes', each of which consists of 11 chapters and covers a wide range of topics. The chapter titles of the first part are: Random Variables and Their Distribution, Sequences of Independent Trials, Lebesgue Integral and Mathematical Expectation, Conditional Probabilities and Independence, Markov Chains with a Finite Number of States, Random Walks on the Lattice \({\mathbb Z}^d\), Laws of Large Numbers, Weak Convergence of Measures, Characteristic Functions, Limit Theorems, and Several Interesting Problems. In the second part, the chapters are entitled: Basic Concepts, Conditional Expectation and Martingales, Markov Processes with a Finite State Space, Wide-Sense Stationary Random Processes, Strictly Stationary Random Processes, Generalized Random Processes, Brownian Motion, Markov Processes and Markov Families, Stochastic Integral and the Ito Formula, Stochastic Differential Equations, and Gibbs Random Fields. Thus the book provides basic and less basic concepts of probability theory and random processes in a concise manner, starting with the general notions of spaces of elementary outcomes and \(\sigma\)-algebras. Interesting further material is introduced, such as the Monte Carlo Method in Chapter 3, \(\pi\)- and Dynkin systems in Chapter 4 of Part I, White Noise in Chapter 17 and Gibbs random fields in Chapter 22 in Part II. The text is well written and the concepts and results motivated and explained. Most of the chapters include a section with exercises of varying difficulty. The material of the book has been used by the authors to teach one-year lecture courses at Princeton University and the University of Maryland to advanced undergraduate and graduate students. Summarising, the book is enjoyable and provides a concise well-motivated presentation of the material covered, suitable for lecture courses at an advanced level.