Introduction to Stochastic Processes

Rating:
Summary: An Excellent Book
Review: In a very concise and clear way, this book gives readers all need to know in stochastic processes. It is very successful in approaching all problems and theorems without any measure theory. Great for students with all kinds of math background.

Rating:
Summary: More than precise in every aspect
Review: This is one of the best books I've ever read in Stochastic Processes. Prof. Lawler presents Markov Chains (Finite, Countable and Continuous), Optimal Stopping, Martingales and Brownian motion concisely and straight to the gist of the subject. The exercises set at the end of each chapter fall into 2 categories: for people who read the book well and actually understand what has been stated, and to people who have a thorough understanding of solid probability theory (harder exercises).

Furthermore, it is such a small book that makes me wonder how so many information could fit in there.

The only small drawback is the few typos which can be picked up easily by the diligent reader.

In total is an extremelly good book, especially for people that haven't had an extensive contact w/ the subject before (or even measure theory), without losing any point of precision whatsoever.