Thread: Books on Stochastic Processes

Hello,

I am quite new around here. I am intrested in studying Stochastic Processes and therefore I would like to know if you could recommend me books at an entry-intermediate level.

Thank you very much.

Charis

Originally Posted by charis

Hello,

I am quite new around here. I am intrested in studying Stochastic Processes and therefore I would like to know if you could recommend me books at an entry-intermediate level.

Thank you very much.

Charis

Depends on what you want. The "classics" seem to be

Rogers & Williams
Yor & Revuz
Stroock & Varadhan

There is also Doob's book on potential theory (with its probabilistic counterpart) which is very nice.

I would recommend Rogers and Williams and also (I have never read it) David Williams' book seems to be more easy going then the former. In either case take a look at them on google books before buying.

Definitely Williams.

I don't know the exact title(s), but I know they're good books ^^

If your interested in application to Finance:
Amazon.com: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer…
http://www.amazon.com/Stochastic-Cal.../dp/0387401016

Primarily, I am looking for an introduction to stochastic processes with finance in mind.

Thank you very much for your suggestions. I googled them and it seems that David Williams book, Probability with martingales, and Rogers and Williams, Diffusions, Markov Processes, and Martingales, look like a right choice to begin with. Shreve's are also really good.

Charis