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An Introduction to Probability and Stochastic Processes

James L. Melsa and Andrew P. Sage
Dover Publications
Publication Date: 
Number of Pages: 
[Reviewed by
Robert W. Hayden
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The title is accurate. The first half of the book covers standard probability topics such as random variables and functions of random variables. Distributions tend to be continuous and integrals and derivatives abound. The second half of the book covers stochastic processes, linear responses to same, Gaussian and Markov processes, and stochastic differential equations. The level claimed is advanced undergraduate or beginning graduate students. Prerequisites are systems analysis, state variables, and Laplace transform methods. This does not appear to be a good fit for a typical probability course taught in a mathematics department to mathematics majors.

Two clues can be found in the authors’ affiliations and the references cited. One author was dean of an engineering college and the other a professor of systems engineering and operations research. The references cited often include in their titles phrases like “communications systems” or “system control.” It would appear this text matches a course in an engineering department, though such a course might also be offered as a service course by a mathematics department.

For their intended audience, the authors have worked hard to communicate with their readers. There is lots of verbal explanation and derivations are detailed. Exercises are numerous and varied, though few ask for proofs. This looks like a good text for a course that is probably not offered by the mathematics department.

After a few years in industry, Robert W. Hayden ( taught mathematics at colleges and universities for 32 years and statistics for 20 years. In 2005 he retired from full-time classroom work. He now teaches statistics online at and does summer workshops for high school teachers of Advanced Placement Statistics. He contributed the chapter on evaluating introductory statistics textbooks to the MAA's Teaching Statistics.

The table of contents is not available.