This book gives an introduction to probability and its many practical application by providing a thorough, entertaining account of basic probability and important random processes, covering a range of important topics. Emphasis is on modelling rather than abstraction and there are new sections on sampling and Markov chain Monte Carlo, renewal-reward, queueing networks, stochastic calculus, and option pricing in the Black-Scholes model for financial markets. In addition, there are almost 400 exercises and problems relevant to the material. Solutions can be found in One Thousand Exercises in Probability.

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"Since its first appearance in 1982, Probability and Random Processes has been a landmark book on the subject and has become mandatory reading for any mathematician wishing to understand chance.It is aimed mainly at final-year honours students and graduate students, but it goes beyond this level, and all serious mathematicians and academic libraries should own a copy ... the companion book of exercises is cleverly conceived and ... form(s) a perfect complement to the main text. " Times Higher Education Supplement

Book Description

A thorough, entertaining account of basic probability and important random processes, covering a range of important topics

Product details

Publisher ‏ : ‎ Oxford University Press; 3rd edition (August 2, 2001)
Language ‏ : ‎ English
Paperback ‏ : ‎ 608 pages
ISBN-10 ‏ : ‎ 0198572220
ISBN-13 ‏ : ‎ 978-0198572220
Item Weight ‏ : ‎ 2.18 pounds
Dimensions ‏ : ‎ 1.3 x 8.9 x 6.4 inches

Best Sellers Rank: #476,377 in Books (See Top 100 in Books)
- #210 in Statistics (Books)
- #745 in Probability & Statistics (Books)
- #2,346 in Core

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4.5 78 ratings

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David R. Stirzaker
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Geoffrey Grimmett
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4.5 out of 5

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Ilya Shutman

Great book for advanced students in probability

Reviewed in the United States on July 22, 2011

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As many reviewers have pointed out, this book may be too advanced for a beginner student, but it is truly the best for a graduate student or anyone else with solid background in Mathematics and some knowledge of Probability. When I took the course based on this book I already covered Advanced Calculus (Rudin) and college-level Probability and Statistics (DeGroot), and I just loved this book. Ten years later I still use it; just a few weeks ago I needed to familiarize myself with Brownian bridges and it took me only 10 minutes with the book to get all I need to know - the concepts, the formulas, the applications - to the extent I could explain it to my teammates.
I wouldn't recommend this book as the introduction to probability, but for a serious student of mathematics this is a great book to further the understanding of probability and prepare for advanced studies in Stochastic Calculus.

31 people found this helpful

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Patrick Thompson

Graduate Probability

Reviewed in the United States on July 13, 2008

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I don't think people should degrade this book because they found it to be tough. They have to blame the person or persons who chose to use the book. I think this book should be used for graduate studies in probability. Maybe people don't understand what graduate studies are all about. You are expected to master concepts when you're doing a master's degree and getting a graduate degree is not as easy as getting an undergraduate degree. I think this book challenges its users in the theory of probability and random processes. Anyone who uses this book and understands it well should have a great foundation in the theory of probability and random processes.

6 people found this helpful

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Mark

Reasonably good, a bit dry

Reviewed in the United States on June 6, 2023

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The books is reasonably good. It's a math textbook, and contains what you would expect a math textbook to contain...

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Luger

... applied math background but none in statistics/probability and I enjoy reading this text as a reference

Reviewed in the United States on August 8, 2016

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I have solid applied math background but none in statistics/probability and I enjoy reading this text as a reference. Can't compare it to other probability textbooks because so far it is my only book on the subject. But very few math books that I have read can compare to this one in terms of knowledge and enjoyment. I would estimate that the probability that you will like this book is more than 90%. Definitely a classic.

3 people found this helpful

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Valentina

A steep learning experience

Reviewed in the United States on July 19, 2016

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This is the best and the hardest book on probability I have ever seen. It is extremely dense and rigorous so it requires the reader to think hard. It has plenty of examples which are often so complex to present sub topics on their own.

This is not a book for people who need only basics.

5 people found this helpful

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Sam Brotherton

Concise and informative

Reviewed in the United States on May 18, 2009

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I used this book for an undergraduate probability theory course, and thought it was excellent. Although it is somewhat terse and I was happy to be able to supplement it with the lectures, it does a great job at rigorously covering a large amount of material in an understandable way. And although it's definitely not appropriate for students seeing probability for the first time, keep in mind that it is still relatively basic, for example it does not involve measure theory at all.

6 people found this helpful

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M. D. Edge

A good reference, but poor for self-instruction

Reviewed in the United States on April 13, 2008

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As other reviews have noted, this book is terse - a quality desirable in a reference but detrimental in a guide for self-study. While I have been fortunate to have an excellent professor to take me through this material, those without a guide may find the Grimmett/Stirzaker approach frustrating, unless they bring a very strong background in related areas of math.

In general, proofs are given in as few lines as possible, with little to no explanation. Important proofs are routinely left as exercises, and there are *no* solutions given. For solutions, inquiring minds must shell out $40+ for a companion volume. This exclusion really limits this book's value as a self-instruction tool.

While several reviewers have felt compelled to point out that they had no trouble teaching themselves probability from this book, there are better choices for those who wish to teach themselves. I am not familiar with the full range of possibilities, but Hoel, Port, and Stone's Introduction to Probability Theory has many useful features and builds intuition without resorting to a bloated "For Dummies" prose style. (As a reference, though, Grimmett and Stirzaker would be superior, as it covers much more material than Hoel, Port, and Stone).

8 people found this helpful

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Amazon Customer

It a good high-level book describing probability and stochastic process

Reviewed in the United States on May 5, 2017

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It a good high-level book describing probability and stochastic process. Since it's mainly from a measure theory perspective, it's a good book for high-level graduate students.

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Anatoliy Swishchuk

Swift delivery

Reviewed in Canada on November 6, 2021

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I like swift delivery. I’ll use it as a textbook.

Cliente de Amazon

Chap 3 is a great introduction to start quantum mechanics

Reviewed in Mexico on September 21, 2017

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El capítulo 3 provee una base sólida para empezar a estudiar mecánica cuántica. Chap 3 is perfect to understand discrete probability.

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Michele

Un ottimo libro

Reviewed in Italy on September 27, 2018

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Per un matematica a cui interessi avere un libro di probabilità sia introduttiva sia ad un livello diciamo avanzato e perfetto, ricco di problemi ed esempi interessanti, spiegazioni chiare

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Andrew Allen

Just like the lectures...

Reviewed in the United Kingdom on April 19, 2014

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I attended a course by Prof. Geoffrey Grimmett and the book reflects this well as the book constantly keeps the motivation behind the mathematics at the forefront without being afraid to show the use of more abstract ideas. I now use the book as a reference and bought it despite being available online for free (most probably generally allegedly in an illegal fashion). Most mathematics books, I find, have the problems with poor notation leading to confusion or lack of suitable problems to stop the tendency to treat the subject as a spectator sport; not true at all for this book. Buy it!

3 people found this helpful

Bücherkeule

Probably not a random choice

Reviewed in Germany on March 23, 2010

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Few introductory mathematical texts deserve the sort of praise which is due to this book. Both encompassing and compassionate, this is a very enticing invitation to the subject of probability. The book excels at covering both a remarkable breadth of subjects ranging from the foundations of probability in measure theory to the Ito integral and applications thereof. The theory is presented in sufficient depth, and formal statements and proofs are suitably counterbalanced by lengthy worked examples which often are of much interest on their own. I have particularly enjoyed reading the short but elegant derivation of a formula which relates the area of a triangle to the the area of a triangle chosen at random within the first triangle. Asides of this kind add the flesh to the otherwise dreary skeleton of theory. Both the presentation and the style of writing are lucid, and sometimes the remarks verge on the humorous.

The number of exercises is enough to keep you busy for a long time. They range from routine to the fairly difficult, but never impossible. Solutions are contained in the companion One Thousand Exercises in Probability , which is a useful addition to the textbook.

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