A First Course in Stochastic Processes

by Samuel Karlin, Howard M. Taylor

The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other.
The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processes not dealt with in the first edition, notably martingales, renewal and fluctuation phenomena associated with random sums, stationary stochastic processes, and diffusion theory.

Genres: Mathematics, Textbooks

502 pages, Hardcover

First published January 1, 1975

Reviews

[Kevin K. Gillette · Rating 4 out of 5]

This book was part of the material for a course I took from Ian Johnstone at Stanford, simply entitled "Stochastic Processes." Both course and textbook were excellent. Karlin and Taylor are legendary pedagogues in this area of mathematical statistics.

[Tanjima Rahman]

It was a good book