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 | | A First Course in Stochastic Processes, Second Edition by Samuel Karlin, Howard M. Taylor ISBN-10: 9780123985521 ISBN-10: 0-12-398552-8 ISBN-13: 9780123985521 ISBN-13: 978-0-12-398552-1 Hardcover 1975-04-11 Academic Press Find Lowest Price |
Editorials | ||
Product Description The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other. The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processes not dealt with in the first edition, notably martingales, renewal and fluctuation phenomena associated with random sums, stationary stochastic processes, and diffusion theory. | ||
Reviews | ||
good selection of topics and rigorous mathematically Sam Karlin is a well known Professor of Mathematics at Stanford University. Karlin and Taylor have teamed up for three excellent texts on stochastic processes. I am commenting on the first edition of the book as that was the one I used as a graduate student at Stanford. Of the books I have read that are introductory first courses in stochastic processes this one is not the easiest to read and the exercises at the end of the chapters are challenging. 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 is a mess This book was published back in the 70s, before the advent of LaTeX. And it shows. In particular, it is no good as a reference for this reason: each time you try to look something up, the page is too overcrowded with symbols to find what you're looking for. In addition, to use this book to learn stochastic processes puts you through a whole lot more trouble than you'll probably need. Each deduction in the book is long, boring, and hard. Since I've read other books which are not, I'm going to assume it's the fault of the authors and their lack of LaTeX. 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. | ||
come to read prepared Before going to the book, one advise is to have prerequisite to this topic, i.e. you need to come prepared with strong statistic and probability background since many of the derivation and proof assume the reader is well into the probability theory. I took the class from Stanford department of statistics, man, it doubled the time I spend comparing other statistics students since my training on probability is rather self-taught and not quite systemetic. Well, overall, it's a classic.. | ||
A wonderful introduction to stochastic processes This is one of those rare mathematical books that is both deeply informative, and a sheer pleasure to read. The book is written in a delightful old mathematical style, where the authors take you by hand through the difficult passages and derivations. The intuition about stochastic processes is so well conveyed, and the mathematics so well explained, that the book can be read with little or no recourse to pencil and paper, much as if it were an armchair book. The book presents a comprehensive overview of the theory of stochastic processes, and I wholeheartedly recommend it to anyone interested into learning their foundations. | ||
Better have a math PHd Very mathematical oriented, not at all intuitive. Of limited use to financial quants without extensive formal training in advanced mathematics. | ||