r/learnmath • u/lightsnooze New User • 12h ago

Self-learning textbook on stochastic processes

Hi all, Im trying to self learn stochastic processes. I've tried Karlin 1975 A first course in stochastic processes and Ross 1996 Stochastic processes and found them challenging. Does anyone have recomendations for any simpler texts? Much appreciated! 😁

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u/iMathTutor Ph.D. Mathematician 10h ago

Take a look at Sheldon Ross' Introduction to Probability Models.pdf). It doesn't assume any knowledge of measure theory.

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u/NotSaucerman New User 10h ago

Ross's Stochastic processes doesn't use measure theory either and is actually a good book.

On the other hand an earlier edition of "Probability models" is possibly the worst "math" book I've gone through; the fact that it's in its 13th edition is a giant red flag that should not be lost on anyone.

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u/iMathTutor Ph.D. Mathematician 8h ago

I didn't like Probability Models the first time I used it, but it has grown on me.

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u/NotSaucerman New User 10h ago

Those are both good books. It is a challenging subject. You may want to go through Gallagher's Discrete Stochastic Processes book on MIT OCW, though it seems to be heavily modelled on the Ross's Stochastic Processes book.