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I have trouble to reading this book!

What book is more elementary/preliminary than this book: Introduction to Stochastic Processes by Lawler

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up vote 5 down vote accepted

It is very difficult to answer your question with the information given.

These might be more gentle and the last one uses Maple.

$\bullet$ Introduction to Stochastic Processes, Paul Gerhard Hoel, Sidney C. Port, Charles J. Stone

$\bullet$ Adventures in Stochastic Processes, Sidney I. Resnick

$\bullet$ An Introduction to Stochastic Processes and Their Applications, Petar Todorovic

$\bullet$ An Introduction to Stochastic Processes, Edward P. C. Kao

$\bullet$ Informal Introduction to Stochastic Processes with Maple, Jan Vrbik, Paul Vrbik

Maybe if you can describe what issues you are having, we could provide more guidance.

There are also some older books that are excellent, but I am not at home and the titles are escaping me.


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Thanks you, i just need some easier book on the subject to read +1 :) – Victor Jan 21 '13 at 16:30
@Victor: You are welcome! For most students, being able to see actual working code and examples and to play with them is very helpful and instructive, so if you have Maple, I would go with the last as that will provide you with an experimental approach. This will help to solidify the theory for the text you are using. Regards – Amzoti Jan 21 '13 at 16:35
Nice suggestions, and I like your follow-up recommendation! Combine hands-on + theoretical! – amWhy May 7 '13 at 1:10
@amWhy: For classes in Stochastic Processes, I cannot tell you how important this is to the learning process. We have so many more wonderful tools to help in this regard (kids today can be so spoiled)! :-) – Amzoti May 7 '13 at 1:14
  • Look through the entry for Stochastic process in Wikipedia. You'll find some references and suggestions for further reading.

  • Another possibility is to go to a university library, search for "stochastic processes", and sit down to browse through the books available, to see which among them suit your needs. Bring the text you refer to with you, and compare how various texts differ in their coverage and explanations that you find too difficult to comprehend as given in your current text.

  • You might want to download the text (available in pdf from Prof. Oliver Knill at Harvard) on "Probability and Stochastic Processes with Applications.". You can compare the text with yours, with no cost to you!

  • One additional possibility to consider, which you can preview, is Introduction to Stochastic Processes, by Hoel, Port, and Stone. Peruse the table of contents, and sample the writing to help you determine if you think this might suit your needs.

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Stochastic calculus is quite a different topic than classical introductory stochastic processes. I'm not familiar with the Klebaner text, but judging by the table of contents, the intersection in subject matter with Lawler is fairly minimal. – cardinal Jan 21 '13 at 17:38
Thanks for pointing that out, @cardinal! – amWhy Jan 21 '13 at 17:48
You're welcome. Cheers. :) – cardinal Jan 21 '13 at 19:16

Applied Stochastic Processes in science and engineering by Matt Scott from the University of Waterloo is free online. It emphasizes ideas and methods.

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Stochastic processes by Sheldon Ross is very elementary:

A nonmeasure theoretic introduction to stochastic processes. Considers its diverse range of applications and provides readers with probabilistic intuition and insight in thinking about problems.

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