An introduction to stochastic processes and their applications (Q1189583)

Writing an introductory book on stochastic processes and their applications presents the problem of choosing which of a large number of topics to develop. This book contains a careful and interesting choice. After an introductory chapter covering such topics as the Kolmogorov construction, continuity and separability, there are included chapters on Poisson and related processes, Gaussian processes, second order processes and the spectral analysis of stationary processes. The latter is the longest chapter in the book, being nearly 50 pages. There is also an introduction to Brownian motion but only a cursory development of the theory of stochastic differential equations and diffusion processes. The author has given a development of Markov processes emphasizing semigroup theory but has also briefly considered an analytical approach via the Kolmogorov differential equations. The final chapter contains an introduction to discrete parameter martingales. What constitutes an application is a matter of personal opinion. It seems to this reviewer that applications have not, except in the first chapter, become an important component of this book. However, the book is of a nice length and is well written with concise proofs and very few typographic errors. It would be a good text for a graduate course in stochastic processes, especially for students with a strong background in analysis.