Probability and Its Applications

Students and teachers of mathematics and related fields will find in this second edition, as previously, a comprehensive and modern approach to probability theory, providing the background and techniques to go from the beginning graduate level to the point of specialization in research areas of current interest. The book is designed for a two- or three-semester course, assuming only courses in undergraduate real analysis or rigorous advanced calculus, and some elementary linear algebra. Revisions and additions to the second edition: * A variety of applicationsb"Bayesian statistics, financial mathematics, information theory, tomography, and signal processingb"appear as threads in conjunction with the relevant mathematics. The goal is to both enhance the understanding of the mathematics and motivate students whose main interests are outside of pure areas. * The relevant measure theory is integrated with the standard topics of probability theory. The latter part of the book examines stochastic processes in both discrete and continuous time: martingales, renewal sequences, Markov processes, exchangeable sequences, stationary sequences, point processes, diffusions, and stochastic calculus. The treatment of stochastic calculus has been expanded considerably. * Numerous examples illustrate the richness and variety of the subject, from sophisticated results in gambling theory to concrete calculations involving random sets. * Over 1,000 exercises are designed to give a deep intuitive feel for the far-reaching implications of the theory. * A solutions manual is available, containing information for about 30% of the exercises, ranging from a simple answer in some cases to a full-detailedcalculation with accompanying proofs in others. ----- From a review of the first edition: "This ambitious book is intended as ba textbook in probability for graduate students in mathematics and related areas such as economics, statistics, physics and operations researchbb&The coverage is careful and thoroughb&Quite a lot of fairly recent material is incorporated, and this is certainly one of the bookbs strengths. The selection of material is sensible, and the quality of exposition is goodb&In sum: the book contains a lot of good mathematics, nicely done, and should prove useful to students and teachers, and to specialists in probability theory." --Mathematical Reviews