Stochastic processes for beginers (good links and books)

Question

I've a syllabus like that..

Markov chains with finite and countable state space. Classification of states. Limiting behavior of n state transition probabilities. Stationary distribution. Branching process. Random walk. Gambler’s ruin problem. Markov processes in continuous time. Poisson’s process Partial correlation. Multiple correlation. Advanced theory of linear estimation

See this thread and that one. – Raymond Manzoni Mar 10 '13 at 14:20 — Raymond Manzoni, Mar 10 '13 at 14:20

score 3 · Answer 1 · answered Mar 10 '13 at 14:07

Standard texts on Markov chains are :

Norris: Markov Chains
D. Stroock: An Introduction to Markov Processes

Markov processes in cont. time is a more advanced subject. Literature suggestions: Last chapter in Cinlar: Probability and Stochastics; Getoor/ Blumenthal: Markov Processes and Potential theory.

Stochastic processes for beginers (good links and books)

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