Probability, Random Processes, and Ergodic Properties

Revised: 2 January 2010
This site provides the current version of the First Edition of the book Probability, Random Processes, and Ergodic Properties by R.M. Gray in the Adobe portable document format (PDF). Also included is a list of errata for the Second Edition, published in August 2009 by Springer.

The First Edition is a corrected and somewhat revised version of the original version published by Springer Verlag in 1988, which is out of print. This corrected version is made available with the permission of Springer-Verlag. Its form was frozen in March 2009, but I will continue to correct any errors that come to my attention. The Second Edition is a major revision of the original.

Permission is hereby given to freely print and circulate copies of this book so long as it is left intact and not reproduced for commercial purposes. The author would welcome all typos and comments.

Errata to First and Second Editions As detailed in the above link, the statement of Lemma 9.2 (Lemma 8.8.2 in the First Edition) is incomplete and the proof is incorrect. The statement is corrected and a new proof provided in the erratum (and it has been incorporated directly into the first edition). As a result, the proof for Theorem 9.3 part (f) (Theorem 8.3.1 in the First Edition) is not correct. The details may be found in the erratum. The author is grateful to Tamas Linder for pointing out the problem.