Stochastic Tools in Mathematics and Science
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The book is based on lecture notes from a class that has attracted graduate and advanced undergraduate students from mathematics and from many other science departments at the University of California, Berkeley. Each chapter is followed by exercises. The book will be useful for scientists and engineers working in a wide range of fields and applications.
For this new edition the material has been thoroughly reorganized and updated, and new sections on scaling, sampling, filtering and data assimilation, based on recent research, have been added. There are additional figures and exercises.
Review of earlier edition:
"This is an excellent concise textbook which can be used for self-study by graduate and advanced undergraduate students and as a recommended textbook for an introductory course on probabilistic tools in science."
Mathematical Reviews, 2006