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.
General
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