An Introduction to Stochastic Processes

Rating:
Summary: Recommended for impatient beginners
Review: Advantages:
(1) Written in a clear language, concise and straight to the point. Book is of the right thickness -- not too thin and not too thick.
(2) Plenty of examples.
(3) Good organisation and great typesetting.

Disadvantages:
(1) Sloppy at places, e.g. the sudden introduction of certain theorems without elaboration.

In general good for beginners who want to get up to speed fast.

Rating:
Summary: Ahhh.... tedious reading.... but a good book nevertheless.
Review: If you have no prior knowledge of Stochastic Processes or worse still, applied probability, they this is a book which you should avoid for some more time till a basis in the above mentioned is gained. The book is not a very easy read, with tedious explanations. However, i found the book quite usefull for use as a reference text for a research paper etc. The Mathlab exercises are rather well done.

Rating:
Summary: concise and with good Matlab examples
Review: It is testbook for my first course in stochastic process. it is concise with not much trivial explanation. It is particularly good with executable matlab files so you can run the examples.