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Math Help - Books on Stochastic Processes

  1. #1
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    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
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  2. #2
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    Quote Originally Posted by charis View Post
    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.
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    Definitely Williams.

    I don't know the exact title(s), but I know they're good books ^^
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  5. #5
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    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
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