Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series) 2nd Edition by Gregory F. Lawler (PDF)

Description

Emphasizing fundamental 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. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory.For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter.New to the Second Edition:Expanded chapter on stochastic integration that introduces modern mathematical financeIntroduction of Girsanov transformation and the Feynman-Kac formulaExpanded discussion of Itô’s formula and the Black-Scholes formula for pricing optionsNew topics such as Doob’s maximal inequality and a discussion on self similarity in the chapter on Brownian motionApplicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐I used this text to supplement Dr. Lawler’s measure-theoretic stochastic calculus course in the finmath program at the University of Chicago.The text covers stochastic processes at an advanced undergraduate level without measure theory, which was exactly what I needed to help plug holes in my understanding. The book is quite clear, the examples and problems are carefully presented to build intuition (especially in the martingale, stopping times, and brownian motion chapters), and chapter nine, which covers stochastic integration, is one of the simplest overviews of the subject I’ve found. I use it regularly to refresh and solidify my understanding of the topic.Highly recommended for those wanting to learn from an introductory, but very serious, treatment of stochastic processes.As an aside, Lawler’s lectures at UofC were literally a highlight of my life. If you have the opportunity, attend one or two–I doubt you’ll have regrets!

⭐This is not a looonnnnggg tomb, but rather a nicely compact introduction to stochastic processes from the fundamentals of Markov process, transition matrices, on the Brownian motion and stochastic integration. Concepts are developed in an intuitive manner, while not easy, well presented.I recommend this book

⭐But it’s honestly the least helpful textbook I’ve ever used in my life. Stochastic processes is already a complicated topic, and this book is so sparse in detail that reading it will leave you more confused 9 times out of 10

⭐Good book but hard for those without much math background.I could have understood things better if I put more time.Definitely, complicated if your math is not so good.

⭐This is a great textbook for advanced math students.

⭐When I was a grad student in the early 90’s, the only available texts for this subject were Hoel, Port and Stone’s third volume and Phillip Protter’s book. The problem was that Hoel, Port and Stone was too intuitive, and Prottor was too formal.This book is just right. The examples are well thought out, and the presentation of the subject matter is effecient without being sparse. The segue from the intuitive concept to the formal definitions / proofs is almost seemless.I would recommend this book to anyone who wishes to learn about stochastic processes. Glad I found it!

⭐great

⭐Thsi text is too complicated. I wish I had bought a better book. But unfortunately there are not many good books on this topic.

⭐Depends what your interpretation of “Introduction” is. This book has some fantastic material, and explains it very directly. Don’t expect too much support though in terms of basic examples/diagrams/etc. The more math I learn, the more I appreciate the book, however, with no solutions to problems, very dry explanations, and few basic examples, this book serves as more of a reference for something to come back to to remind yourself once you’ve learned the topic (coming from an undergraduate perspective).The pages are densely packed with great material, but that can be a double edged sword for a learner.

⭐The order arrived in time and has a very good quality, totally satisfied!

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