Theory of Probability and Random Processes [Paperback]

A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate and graduate students, forms the core of this book. It provides a comprehensive and self-contained exposition of classical probability theory and the theory of random processes. The book includes detailed discussion of Lebesgue integration, Markov chains, random walks, laws of large numbers, limit theorems, and their relation to Renormalization Group theory. It also includes the theory of stationary random processes, martingales, generalized random processes, and Brownian motion.

The core of this book is a one-year course in probability theory and the theory of random processes, taught at Princeton University. The book provides a comprehensive exposition of classical probability theory and the theory of random processes.

A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate and graduate students, forms the core of the content of this book

It is structured in two parts: the first part providing a detailed discussion of Lebesgue integration, Markov chains, random walks, laws of large numbers, limit theorems, and their relation to Renormalization Group theory. The second part includes the theory of stationary random processes, martingales, generalized random processes, Brownian motion, stochastic integrals, and stochastic differential equations. One section is devoted to the theory of Gibbs random fields.

This material is essential to many undergraduate and graduate courses. The book can also serve as a reference for scientists using modern probability theory in their research.