An Introduction to Probability and Random Processes
by Gian-Carlo Rota, Kenneth Baclawski
Number of pages: 467
The purpose of this course is to learn to think probabilistically. We begin by giving a bird's-eye view of probability by examining some of the great unsolved problems of probability theory. It's only by seeing what the unsolved problems are that one gets a feeling for a field.
Download or read it online for free here:
by Edward Nelson - Princeton University Press
In this book Nelson develops a new approach to probability theory that is just as powerful as but much simpler than conventional Kolmogorov-style probability theory used throughout mathematics for most of the 20th century.
by S. R. S. Varadhan - New York University
These notes are based on a first year graduate course on Probability and Limit theorems given at Courant Institute of Mathematical Sciences. The text covers discrete time processes. A small amount of measure theory is included.
by David Nualart - The University of Kansas
From the table of contents: Stochastic Processes (Probability Spaces and Random Variables, Definitions and Examples); Jump Processes (The Poisson Process, Superposition of Poisson Processes); Markov Chains; Martingales; Stochastic Calculus.
by Pierre Simon Laplace - Chapman & Hall
Classic book on probability theory. It demonstrates, without the use of higher mathematics, the application of probability to games of chance, physics, reliability of witnesses, astronomy, insurance, democratic government, and many other areas.