Basic Stochastic Processes Review

: Probability theory (random variables, expectation, laws of large numbers) and calculus.

by Pierre Devolder: Focuses on stochastic calculus, Lévy processes, and the Black-Scholes model. Ideal for actuaries or risk managers. Available at Barnes & Noble . For Rigorous Mathematical Theory Basic Stochastic Processes

by Sidney Resnick: Praised for detailed explanations and a mix of simple and elaborate exercises. For Applied & Computational Use : Probability theory (random variables, expectation, laws of

by Durrett: Recommended for a solid grounding in martingales, Markov chains, and Brownian motion. Available at Barnes & Noble

by Bruce Hajek: A highly-regarded free resource for engineering students.

💡 : If you find Brzezniak & Zastawniak too brief, reviewers often suggest supplementing it with A Probability Path by Sidney Resnick for a more expansive view of the underlying probability theory. Zdzistaw Brzeiniak and Tomasz Zastawniak - eclass UoA