Introduction to Stochastic Processes

Nice treatment on stochastic processes (a lot of emphasis on Markov Chains). It has a nice level, really didactic.

I used this book for my Stochastic class. In my opinion, this is a good book to start.

Hoel, Port and Stone put together a three volume series on probability, statistics and stochastic processes. In 1975 I took the first year graduate course in stochastic processes and my Professor at Stanford Yash Mittal elected this text for the course out of a number of possibilities. This book was particularly good for an introduction to Markov chains, the backbone to stochastic processes. I learned a lot from it and found it easy to use as a text. I then bought the other to books to complete the trilogy. At the time Hoel and Port were at UCLA and I believe Stone was already at Berkeley.This is an excellent text for a graduate course that stands the test of time. If it has been revised, I am not familiar with the new edition and any possible changes that may have occurred.

This is the last volume of a series of three excellent texts by Hoel/Port/Stone on probability, statistics and stochastic processes. The way they write should be the standard for all of other authors. Concise, clear and intuitive. Lots of worked examples and exercises with answers help readers go through those topics. If you are lack of knowledge in probability and want to know stochastic processes or even financial mathematics. These three books can be your short cut.

If you want to learn about Markov Chains in a non-measure theoretic level, this book is a must-have. But you need to have something in probablity before, as you are supposed to for Markov Chains.It made no mistakes. Enjoyable. Exercise problems are good, although somewhat easier than Ross's Stochastic Processes. But the contents are definitely better.If you find this too difficult, may be you need: 1. Basic probability or 2. Basic math (how to read/write proofs) 3. and Good sleep, good dinner, good shower, lots of determination/motivation, a girlfriend too maybe.Note: put parentheses on 1 and 2. :)