Stanford MS&E 221 – Stochastic Modeling

References

Note: The books by Ross, Norris, and Durrett are available in electronic form for Stanford students, at the links below.

• Ross, Introduction to Probability Models. A great introduction to both probability and stochastic modeling; some readings and exercises will come from this book.

• Bertsekas and Tsitsiklis, Introduction to Probability. This is an excellent introduction to basic probability, at the advanced undergraduate level. It contains two chapters on random processes and (finite state) Markov chains.

• Norris, Markov Chains. This is a slightly more mathematical treatment of the subject, but one of the most clearly presented versions of the material available.

• Durrett, Essentials of Stochastic Processes. This book is also more mathematical than Ross’ book; it is a good place for an introduction to martingales that is not very technical.

• Grimmett and Stirzaker, Probability and Random Processes. This book is a comprehensive treatment of basic probability and Markov chains, at a more rigorous pace than the books above.