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Looking for text on stochastic processes

  1. Jan 4, 2014 #1
    An introductory text is preferable. Topics relevant (not a deal-breaker if not covered): Poisson process, Markov chains, renewal theory, models for queuing, and reliability.

    Also, in the future I'd like to dabble in stochastic calculus, but my background in measure theory is non-existent. I've heard measure theory is a necessity for stochastic calc., so what are some good sources to build a relevant background in measure theory needed for stochastic calc.?

    Thanks for any feedback.

    Edit: After posting this I've realized there is a section solely for learning materials. Mod. please move if post is in wrong section.
     
  2. jcsd
  3. Jan 4, 2014 #2

    Jano L.

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    What field are you more inclined to? Science or mathematics/economy?

    For science, the book

    van Kampen, Stochastic Processes in Physics and Chemistry, Third Edition (North-Holland Personal Library)

    https://www.amazon.com/Stochastic-P...TF8&qid=1388864017&sr=8-1&keywords=van+Kampen

    might be useful to you. More a collection of methods and problems than an introductory textbook, but has some interesting insights scattered throughout the text.
     
    Last edited by a moderator: May 6, 2017
  4. Jan 4, 2014 #3
    Thanks for the suggestion! The field I'll probably be working with is more-so mathematics/economics (finance) than actual science.

    The same methods probably apply in a non-scientific setting. Would general chemistry and standard physics I & II sequence be enough background for the scientific principles in the book? I don't mind the science, but if I have to go out of my way to learn it in order to understand the math, then it might be a distraction.
     
  5. Jan 4, 2014 #4
    Last edited by a moderator: May 6, 2017
  6. Jan 4, 2014 #5

    Jano L.

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    Gold Member

    Then I think you better try some closer to mathematics textbook as a main text, and peek into van Kampen/others just to get broader view of things and applications.
     
  7. Jan 4, 2014 #6
    Last edited by a moderator: May 6, 2017
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