Attention conservation notice: An appeal to the reader's knowledge of textbooks on stochastic processes; also a plea not to be thrown into the briar-patch.

In the spring, I'm going to be teaching the department's advanced course on stochastic processes (36-754, for those keeping track at home). The catalogue description of the course reads, in full, as follows:

This course introduces advanced topics in Probability Theory such as Brownian motion, Markov processes, stationary processes, stochastic integration, etc.It's intended for students from math or statistics who've had a first course in measure-theoretic probability, such as our 36-752, which goes up through the laws of large numbers for independent variables, a little martingale theory, and the central limit theorem. Most if not all of them will have already had a course on stochastic processes at the level of Grimmett and Stirzaker. My plan is to take advantage of the "etc." in the description, and teach a course on

I am looking for *a* textbook which covers all of this, or at least
most of it; I'd be willing to change the material to match a good text. The
students currently in 752 are
using Ash
and Doleans-Dade, which is good, and the last two chapters (which they
won't get to) introduce a little ergodic theory and a little stochastic
calculus, respectively, but not in enough depth. No one book I know seems to
fit, and making them buy more than *one* expensive book doesn't seem
right. If you have any suggestions, please mail them to me at cshalizi [at] oryx [dot] cmu [dot]
edu (removing the name of a genus of antelope, which is there only to
confuse spammers). I am going to have to spend a lot of time on my lecture
notes; I *really* don't want that to have to grow into, in effect,
writing my own book.

**Update**, next day: Thanks to
Bill Tozier,
Anand Sarwate and
Wolfgang Beirl for writing with suggestions.
Wolfgang, in particular, pointed me to
Alexandre Stefanov's useful
collection
of online
probability texts and notes (part of
a bigger collection of
mathematics resources). One of
these, Robert
Gray's Probability, Random Processes
and Ergodic Properties, is something I was already planning to mine,
along with his Entropy
and Information Theory.

**Update**, Halloween: We will be using Olav Kallenberg's
Foundations
of Modern Probability as a reference, with the primary text being my
lecture notes.

*Manual
trackback*: Nothing
Funny About Feldspar

Posted at October 27, 2005 16:15 | permanent link