Customer Reviews

A Second Course in Stochastic Processes

5 star:		(3)
4 star:		(1)
3 star:		(0)
2 star:		(0)
1 star:		(0)

 

 

Karlin and Taylor wrote a classic text on stochastic processes in their "A First Course in Stochastic Processes". The second edition of that text was published in 1975.

This sequel came out in 1981. It is not only a second course but it is also intended as a second volume on a larger course in stochastic processes. The authors show that they are continuing from the first course by picking up with Chapter 10 after the first book ended with Chapter 9. Many of the topics in the first book are continued in this text including Markov chains and Diffusions. Heavy emphasis is placed on point processes and their applications including Poisson and compound Poisson processes, population growth models and queueing processes.

In financial derivatives, people are generally dealing with all kinds of stochastic processes. This second course focuses on diffusion processes and prepares one with adequate knowledge to go ahead and understand how options are priced. This book itself does not touch any financial theory and will be of great use to people in genetics, mathematics and physics alike (finance also, of course). The authors give a chart of logical dependence of all the chaptors so you do not need to read every single corner if you are only interested in a specific topic. Readers are assumed to know Calculus and some basic probability theory. Knowledge of Brownian motion is not required and the authors succeded in keeping the math accessible. Although a mature senior might undertake this book, math in this book is not sloppy at all. Another thing I liked this book very much is there are so many excersices at the end of each chapter and one can check if he understands the materials or not. It's quite fair to give this book five stars.

You know who your real friends are when they recommend you this book. This gem gives you a real appreciation for what is, unfortunately, the "old" - style of mathematics. Unlike the disasterous expositions in certain modern texts that will remain namesless - this text motivates all its topics with ample examples and doesn't beat you over the head with notation, jargon and arrogance. The topics are appropriate for a first course and for people that want to apply the material to their work or research right away.

This is a very good book you don't want to miss for studying stochastic processes.