# Where to start Stochastic processes

This semester I have the course stochastic processes in university but as our instructor is awful I can't rely on him and I should study this course on my own.To start, I need a suitable book for self-study which has solution manual so I can check whether my answers to its questions is correct or not. I searched to find one but unfortunately I couldn't find any!

any help and advice for finding a suitable one would be appreciated.

• Brownian Motion and Stochastic Calculus by Karatzas and Shreve is pretty good, but it focuses more on Brownian motion. – parsiad Mar 23 '16 at 15:29
• @ C.B - It would be better if you tell about your background so that appropriate references can be given. – Dark_Knight Mar 23 '16 at 15:29
• You can take a look at this link springer.com/gp/book/9780412203404 a small book with solution manual as you desire – Vincent Mar 23 '16 at 15:32
• @Dark_Knight I've passed probability course and I'm familiar with them, actually not very much, so I prefer to read a book in which everything is explained basically. – F.K Mar 23 '16 at 15:33
• @ C.B - To start with a topic like stochastic process, you must have a good understanding of probability. I advise you to strengthen your concepts of probabiity first. – Dark_Knight Mar 23 '16 at 15:36

I see that the asker has recently asked a question regarding whether or not Lawler's book has a solution manual, so this answer assumes that that's the level at which the course is laid. (Reference: Introduction to stochastic processes by Lawler)

If so, have a look at "Stochastic Processes and Models" by Stirzaker. The outline is similar to that of Lawler, and there are solutions and hints to some of the exercises at the end of the book: http://www.amazon.com/Stochastic-Processes-Models-David-Stirzaker/dp/0198568134

I haven't used the book too much myself, but from what I've seen it is quite readable.

• (There might be a slight chance that this book is a tad more basic than Lawler though, upon further inspection, but I can't really speculate since I have no experience with the latter book…) – MonadBoy Mar 23 '16 at 15:44
• Actually our textbook is Lawler's book. I've read one chapter of it, it was somehow good but really wasn't helpful for self-study and also it doesn't have any solution manual to help! I will check the book that you've recommended, hoping it works! thank you so much – F.K Mar 23 '16 at 15:47

We had these three books during our first course in Stochastic processes:

$1.$ $\textbf{Probability and Random Processes}$ by Grimmet and Stirzaker

together with their

$2.$ $\textbf{One Thousand Exercises in Probability}$

which has solutions to every exercise. These two books covers a lot and is suitable for beginning to more advanced courses.

Easier and a decent complement is

$3.$ $\textbf{Schaum's Outline of Probability, Random Variables, and Random Processes}$

This one also has solutions to most exercises.

You say

"I need a suitable book for self-study which has solution manual"

and

"I've passed probability course and I'm familiar with them, actually not very much, so I prefer to read a book in which everything is explained basically."

then I'd say these three are a pretty good choice (or, alternatively, only the first two.)

To begin with absolute basics, I would recommend Markov Chains (Cambridge Series in Statistical and Probabilistic Mathematics) by J. R. Norris.

It's actually about a type of stochastic process which will eventually help you to understand how things work in Stochastic processes.

• Does it have solution manual? – F.K Mar 23 '16 at 15:34
• No, I don't think so. But you can always post your problems here. – Dark_Knight Mar 23 '16 at 15:39