© 2007

Theory of Probability and Random Processes

  • Comprehensive, self-contained exposition of classical probability theory and the theory of random processes

  • Dwells on a number of modern topics, not addressed in most textbooks

  • Author Ya. G. Sinai is one of the world's leading probabilists and mathematical physicists


Part of the Universitext book series (UTX)

Table of contents

  1. Random Processes

    1. Leonid Koralov, Yakov G. Sinai
      Pages 253-272
    2. Leonid Koralov, Yakov G. Sinai
      Pages 273-287
    3. Leonid Koralov, Yakov G. Sinai
      Pages 289-309
    4. Leonid Koralov, Yakov G. Sinai
      Pages 311-339
    5. Leonid Koralov, Yakov G. Sinai
      Pages 341-346
  2. Back Matter
    Pages 347-351

About this book


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.


Brownian motion Markov chain Markov process Martingale Probability Probability theory Random variable random processes random walk

Authors and affiliations

  1. 1.Department of MathematicsUniversity of MarylandCollege ParkUSA
  2. 2.Department of MathematicsPrinceton UniversityNew JerseyUSA

About the authors

YAKOV SINAI has been a professor at Princeton University since 1993. He was educated at Moscow State University, and was a professor there till 1993.
Since 1971 he has also held the position of senior researcher at the Landau Institute of Theoretical Physics. He is known for fundamental work on dynamical systems, probability theory, mathematical physics, and statistical mechanics. He has been awarded, among other honors, the Boltzmann Medal (in 1986) and Wolf Prize in Mathematics (in 1997). He is a member of Russian and American Academies of Sciences.

LEONID KORALOV is an assistant professor at the University of Maryland. From 2000 till 2006 he was an assistant professor at Princeton University, prior to which he worked at the Institute for Advanced Study in Princeton. He did his undergraduate work at Moscow State University, and got his PhD from SUNY at Stony Brook in 1998. He works on problems in the areas of homogenization, diffusion processes, and partial differential equations.

Bibliographic information

  • Book Title Theory of Probability and Random Processes
  • Authors Leonid Koralov
    Yakov G. Sinai
  • Series Title Universitext
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2007
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
  • Softcover ISBN 978-3-540-25484-3
  • eBook ISBN 978-3-540-68829-7
  • Series ISSN 0172-5939
  • Edition Number 2
  • Number of Pages XI, 358
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Additional Information Originally published as Springer Textbook: Probability Theory. An Introductory Course
  • Topics Probability Theory and Stochastic Processes
  • Buy this book on publisher's site


From the reviews of the second edition:

"The book is based on a series of lectures taught by the authors at Princeton University and the University of Maryland. The material of the book can be used to support a two-semester course in probability and stochastic processes or, alternatively, two independent one-semester courses in probability and stochastic processes, respectively. … will be found useful by advanced undergraduate and graduate students and by professionals who wish to learn the basic concepts of modern probability theory and stochastic processes." (Vladimir P. Kurenok, Mathematical Reviews, Issue 2008 k)

“The text is well written and the concepts and results motivated and explained. Most of the chapters include a section with exercises of varying difficulty. The material of the book has been used by the authors to teach one-year lecture courses at Princeton University and the University of Maryland to advanced undergraduate and graduate students. Summarising, the book is enjoyable and provides a concise well-motivated presentation of the material covered, suitable for lecture courses at an advanced level.” (Evelyn Buckwar, Zentralblatt MATH, Vol. 1181, 2010)