Stochastic Process book

[CGiuliano]

So, I'm taking Stochastic process next semester and we are using a textbook written by the professor:

Durrett, Rick, Essentials of Stochastic Processes

Anyone heard of this book? Any comments?

 

[bigbadwolf]

I have the book. I used it some years back for a course in stochastic. It's not great. The chapters on discrete Markov chains and Poisson processes are usable (but not great). For martingales, you will probably need to supplement the book.

 

[CGiuliano]

Ok, thanks. Any advice on supplements?

 

[bigbadwolf]

Any advice on supplements?

For Markov chains, Poisson processes, etc., there are many good books and you should be able to find something by yourself. For martingales, I don't find anything that satisfies me as a good introduction. You might try glancing at Brzezniak and Zastawniak's Basic Stochastic Processes (Springer). For general background reading you mght like to look at Shafer and Vovk's Probability and Finance (Wiley). Don't buy these books until you've seen them.

 

[CGiuliano]

Does anyone know were I can find/download a solutions manual to this (or other) textbooks?

 

[wegged]

I used Amazon.com: Introduction to Probability Models, Ninth Edition (9780125980623): Sheldon M. Ross: Books

for my undergrad class in stochastic processes it was ok

 

[e.kosygina]

When you take a course taught by Durrett, the textbook should not matter. What really matters is to try to get most out of his lectures. Don't look for the solution manual (I do not know if there is one). If you have questions, go to your TA or Durrett (he is a very good person) and, most importantly, study the material every week. I would not expect it to be an easy course but it is a great advantage to learn from Rick Durrett.

(I am assuming that you really want to learn not just to pass the course with a good grade.)

Durrett's books are great in terms the choice of material, examples, techniques presented, but they are not very carefully written. Make sure that you get the list of typos (available on his web page). I would not recommend to purchase additional books: there are just too many to choose from. It all depends on what you personally find readable. A book that covers pretty much the same material at essentially the same level is Introduction to Stochastic Processes by G. Lawler. S. Ross's book recommended above is very good (great examples and problems) but many students find it overwhelming and hard to read on their own. Also it covers so much more but does not cover martingales. In short, stick with Durrett, and work hard .