Probability and random processes. 3rd ed. (English) Zbl 1015.60002

Grimmett, Geoffrey R.; Stirzaker, David R.

Oxford: Oxford University Press. xii, 596 p. (2001).

[For the review of the second edition from 1992 see Zbl 0759.60001.]
This revised third edition contains new sections on Markov chain Monte Carlo, coupling and its applications, geometrical probability, spatial Poisson processes, stochastic calculus and the Itô integral, Itô’s formula and applications (including the Black-Scholes formula), networks of queues, and renewal-reward theorems and applications.

MSC:

60-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
60Gxx	Stochastic processes

Citations:

Zbl 0759.60001; Zbl 0759.60002; Zbl 0493.60001; Zbl 1015.60003