Introduction to Stochastic Processes

by Gregory F. Lawler

This concise, informal introduction to stochastic processes evolving with time was designed to meet the needs of graduate students not only in mathematics and statistics, but in the many fields in which the concepts presented are important, including computer science, economics, business, biological science, psychology, and engineering.

With emphasis on fundamental mathematical ideas rather than proofs or detailed applications, the treatment introduces the following topics:

Genres: Mathematics, Nonfiction

192 pages, Hardcover

First published July 1, 1995

Reviews

[Saman · Rating 4 out of 5]

Stochastic processes is the mathematical study of processes which have some random elements in it. Like what happens in a gambling match or in biology, the probability of survival or extinction of species. The book starts from easy questions, specially when the time is discrete, later it goes to continuous time problems and Brownian motions. One of the best books in this area, I don't remember any line to be vague or hard to understand. It is attractive both from pure perspective and practical viewpoint.

[Dmitri · Rating 5 out of 5]

This is a great introductory book for stochastic calculus. Unlike most books on stochastics, this one does not require the knowledge of measure theory, but does require some fundamental knowledge of difference equations and linear algebra. The book mainly covers the topic of Markov chains in discrete and continuous settings, but does cover a bit of Ito calculus too (just the basics, though). It's a very accessible text, though sometimes its explanations go a bit too far in terms of theory - something that's difficult to avoid, I guess. It is, by now, an out-of-print text that's very difficult to get a hold of.