Stats 218 : References

Most of the course material can be found in any of these textbooks:

G. Grimmett, D. Stirzaker, Probability and Random Processes, Oxford, 2001

S. Ross, Stochastic processes, Wiley, 1996

S. Karlin, H. M. Taylor, A First Course in Stochastic Processes, Academic Press, 1975

I like Grimmett-Stirzaker because it is fairly synthetic and contains many interesting things, but it is a bit more abstract than the other two. Also, at some points it uses the language of sigma algebras. However those parts can be easily 'translated’ to a more elementary language: I will provide some explanation in class.

You are welcome to follow any of the above.

I will also discuss some more modern applications to statistics and algorithms. I will provide specific references.