Probability, Random Processes, and Ergodic Properties

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.