ASA Connect

Hi,

I was wondering if somebody can introduce me some good resources for studying stochastic process including books, e-courses, papers, etc for introductory, intermediate, and advanced levels. I would appreciate your suggestions.

Thanks

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Adel Khodakarami
PhD Candidate
Texas A&M University
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Dear Adel,

"Stochastic Process" by Sheldon Ross is a great non-measure probabilistic book. It contains a diverse range of applications with intuition and insight about solving the problems.

Best,

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Rasool Tahmasbi
University of Colorado
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Hi! I'm self-teaching myself about diffusions. I've found Klebaner's book "Introduction to Stochastic Calculus" the most readable so far. It covers much the same territory as Oksendahl's classic "Stochastic Differential Equations" but is more of a friendly read. I have recently started reading "Stochastic Methods, A Handbook for the Natural and Social Sciences" by Gardiner. It skips all the measure-theoretic stuff and just concentrates on how to use the methods to solve problems. (which is what I really want). Some of the notation is a bit "physics-ey" however, but easy to understand.

If you find any better texts, please tell me!

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Simon Blomberg
Lecturer and Consultant Statistician
University of Queensland School of Biological Sciences
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I forgot to mention "Simulation and Inference for Stochastic Differential Equations" by Iacus. It's great for getting your hands dirty with R.

Simon.

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Simon Blomberg
Lecturer and Consultant Statistician
University of Queensland School of Biological Sciences
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I've seen several people ask similar questions to yours. Just to make sure we are talking about the same things:

What do you mean by stochastic processes?

Are you dealing with a specific area (i.e. Molecular Dynamics, Statistical Mechanics) or general topics?   

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Andrew Ekstrom
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Karlin and Taylor's "A First Course in Stochastic Process" provides a nice elementary treatment of Markov chains, Poisson and point processes, stationary processes and martingales, and Brownian motion. Sheldon Ross' book, mentioned above, is another nice introduction. Kloeden and Platen's book on numerical methods for stochastic differential equations also contains decent background on SDEs.  Linda Allen's Introduction to Stochastic Processes with Applications to Biology is pretty good. I've not found a really good book on the subject of SDEs, tho I will be checking out Simon's suggestion (thanks!) of Klebaner,

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Ben Fitzpatrick
Loyola Marymount University
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