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  1. #1
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    Book for stochastic processes




    I need a good reference to learn these topics

    1. Markov Chains in discrete time.

    1.1. Classification of states, recurrence notions of transience.

    1.2. Stationary measure.

    1.3. Reversibility.

    2. Markov Chains continuous time.

    3. Poisson process.
    4. Processes of birth and death.
    5. Applications: renewal theory notions of queuing theory.

    I have researched some references, and particularly did not like the

    -Sheldon M. Ross "Stochastic processes"
    -Sheldon M. Ross "Introduction to probability models"

    although I have used Ross books for the course of probability, someone by chance heard of these authors below
    -Essentials of Stochastic Processes, Richard Durret
    -A First Course in Stochastic Processes,by Samuel Karlin, Howard M. Taylor

    or by chance know some other good reference.

    Thank you.
    The difference between stupidity and genius is that genius has its limits.
    "Albert Einstein"

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    Re: Book for stochastic processes

    Are you an engineer or from core math background?

    Books by Ross are very good. I studied the book by Karlin & Taylor, and I really liked the book (I think there is a second book too). Not gone though the book by Durret, so I don't have much idea about the book.
    In the long run, we're all dead.

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    Re: Book for stochastic processes

    Quote Originally Posted by vinux View Post
    Are you an engineer or from core math background?

    Books by Ross are very good. I studied the book by Karlin & Taylor, and I really liked the book (I think there is a second book too). Not gone though the book by Durret, so I don't have much idea about the book.
    I am a student in the second year of statistics(undergraduate), I have done a course in probability. I have read good reviews about the material Karlin & Taylor, if I would use the Ross's book only to do the exercises as a supplement.

    The book written by Durrett is interesting, the problem is I have seen many complaints about typing problems and he often uses a different notation in certain cases.
    The difference between stupidity and genius is that genius has its limits.
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    Re: Book for stochastic processes

    The book Understanding Probability (3rd edition) by Henk Tijms is an introductory probability book. Nevertheless it contains a lot of material on the topics you mentioned

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    Re: Book for stochastic processes


    I can recommend Karlin. As a physicist I found the math challenging but practical. AFAIK it has a second volume more focused on continuous time, that one is reputedly more difficult.

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