- Hardcover: 557 pages
- Publisher: Academic Press; 2 edition (April 11, 1975)
- Language: English
- ISBN-10: 0123985528
- ISBN-13: 978-0123985521
- Product Dimensions: 6.3 x 1.2 x 9.3 inches
- Shipping Weight: 2 pounds (View shipping rates and policies)
- Average Customer Review: 3.7 out of 5 stars See all reviews (9 customer reviews)
- Amazon Best Sellers Rank: #322,182 in Books (See Top 100 in Books)
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A First Course in Stochastic Processes, Second Edition 2nd Edition
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About the Author
Howard E. Taylor is a research chemist with the National Research Program, Water Resources Division, U.S. Geological Survey located in Boulder, Colorado. Dr. Taylor has played a major role over the past 25 years in the development of plasma spectrometric techniques in analytical chemistry, as reflected in his more than 150 technical publications and the presentation of numerous papers at national and international technical meetings. He has served as faculty affiliate at Colorado State University and has taught American Chemical Society Short Courses for more than 15 years.
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Top Customer Reviews
Another useful text, I have found, is Karlin's later text, "An Introduction to Stochastic Modeling." This text is more elementary. However, it often provides insight and explanations to material that "A First Course" omits.
The analysis mathematics background required for "A First Course in Stochastic Processes" is equivalent to the analysis one gets from 'baby' Rudin, chapters 1 - 7, say. Those are enough I think. A decent probability course is useful, of course.
Read chapters 11 and 13 from Feller first. Then jump into Karlin. It's a challenging but an enjoyable experience.
For my first course in Stochastic Processes my instructor chose Hoel, Port and Stone which provides a more systematic treatment building up from basic results about Markov chains. Maybe Karlin and Taylor's book should be used as a second course in stochastic processes and their sequel for a third course.
For those readers who are mathematically inclined and want to see proofs of theorems, this is the book to get. It does not go into stochastic calculus or go very deeply into Brownian motion. But unlike most introductory courses it does cover Martingales and Brownian Motion. Stochastic calculus and a deep description of Brownian motion are topics that are rightfully saved their book titled "A Second Course in Stochastic Processes."
One reviewer gave the book a bad rating and complained about the typesetter. I find that to be a little too superficial of a criticism to give the book a poor rating. A lot of thought and hard work is put in by the distinguished authors. My rating is four stars because although it is an excellent text that is often used for grsduate school studies in mathematics or statistics, it is not the easiest to read or the most systematic.
This book, not unlike quite a few in probability and statistics (e.g. Billingsley), is popular because old professors used it and don't bother to find a new one.
The writing style is similar to the immortal 'Introduction to Probability Theory' and its Applications' by Feller, with a similar mixture of rigorous mathematics and probabilistic intuition. Though 'A First Course...' only reviews the basics, it has some common topics with Feller's and covers more advanced topics.
The style of the book is the perfect opposite of 'Introduction to probability Models' by Sheldon Ross, which is written in a much more flamboyant style, full of surprises and amazement, and requires the constant use of pencil and paper to follow the developments. These two sources can be combined to master the subject, despite the fact that students often find Ross's magnificent work too hard to follow. (Of course, some will say that it is a bad book, and that the professor can't teach...)
Even though 'A First Course...' is rarely used as a textbook (bad marketing?) after taking courses on multivariable calculus and basic probability, an undergraduate student is ready to read this book. Measure theory is barely used, and it is a surprise to see how far can one go using only probabilistic intuition. The book is also well suited to doctoral courses.
The consecutive chapters on Martingales and Brownian Motion are unparalleled, a unique collection of basic examples is used to illustrate results on Stopping Times and Convergence. Also, Measure Theory is introduced at this point in a very appealing manner. These concepts are then used to obtain classical results on Brownian Motion and other topics. Students interested in Stochastic Calculus (not covered in this book) and its many application in Finances, Engineering, Operations Research and Computer Science can acquire solid foundations here.
The chapter on Stationary Processes is also very special, it provides solid foundations for Econometrics and Time Series and it is often quoted in research papers.
In short: an excellent book to acquire solid foundations on Stochastic Processes, the only source I know for a simple and systematic introduction of certain topics.
Most Recent Customer Reviews
informative, and a sheer pleasure to read.Read more