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Probability: Theory and Examples

Rick Durrett
Cambridge University Press
Publication Date: 
Number of Pages: 
Cambridge Series in Statistical and Probabilistic Mathematics
BLL Rating: 

The Basic Library List Committee suggests that undergraduate mathematics libraries consider this book for acquisition.

[Reviewed by
Brent Kelderman
, on
Probability: Theory and Examples 5th Edition still holds true to its original goal that as the theory is developed, the focus of attention will be on examples with hundreds of examples provided and hundreds of example problems given as exercises for the reader.
The theory is well developed throughout the book and examples are given to illustrate each theory.
A few changes for the fifth edition have been made.  A few of these changes, as described in the preface, include:
  • The exercises have been moved to the end of the section.  The Examples, Theorems, and Lemmas are now numbered in one sequence to make it easier to find things.
  • There is a new chapter on multidimensional Brownian motion and its relationship to PDEs.  To make this possible, a proof of Ito’s formula has been added to Chapter 7.
  • Some of the exercises that were simply proofs left to the reader have been put into the test as lemmas.  There are a few new exercises.
This text could be used either as a textbook or as a supplemental text for a graduate level class or as a very useful and helpful text for those that are wanting to further their knowledge of probability.  A word of warning, this book is a rigorous text that requires the reader to have prior knowledge and a good ability to at least follow the statistical theorems and examples provided.  That being said, it can benefit the reader much if they persevere.


Brent Kelderman is a high school math teacher at Millard West High School.