Introduction to Stochastic Processes

by Gregory F. Lawler

"Focusing on mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Approaching all problems and theorems without any measure theory, the book provides a concise and informal introduction to stochastic processes evolving with time." This concise, informal introduction is designed to meet the needs of students and professionals not only in mathematics and statistics, but in the many fields in which the concepts presented are also important, including computer science, economics, business, biological sciences, psychology, and engineering. It acquaints readers with the possibilities of applying stochastic processes in their work.

Genres: Mathematics, Nonfiction

Unknown Binding

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.