Reference request for Stochastic Processes in general I'm studying stochastic processes through the book "Introduction to Stochastic Processes, Gregory F Lawler".
Is there any significant difference between "Stochastic processes, Sheldon Ross" and "Introduction to stochastic process, Gregory F Lawler"?
I took a look at the Ross book, and it seems to me that Lawler's book uses much linear algebra, but maybe it's just my impression.
Another thing that makes me a little afraid about this book is that it is so small compared to others, Poisson Process for example has only three pages of material.
Does anyone know these books?
 A: I assume that you mean Stochastic processes by Sheldon Ross and that you are asking about 2nd editions of these books. 
There are not so much difference in the contents. Ross's book starts with giving some background of probability theory while Lawler's, with linear algebra and differential equations (this may explain your impression of the latter). The material that follows is similar, although Ross's book gives a couple of extra topics (which you will probably skip on the first reading anyway). 
But there is a difference in how the material is delivered. To me, Lawler's book seems more teacher oriented: it gives mainly raw material with less extra explanations and examples. On the contrary, Ross's book gives more examples, illustrations, problems (many of which are solved in the end); overall it is written in a more lively manner imho.
tldr: Both books are excellent and have similar contents. However, for self-learning I would recommend taking Ross's book, especially if your background is not probability.
