随机过程和滤波理论 作者：Andrew H

Adventures in Stochastic Processes (Sidney Resnick)英文原版 随机过程经典读物

This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instills a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to ...

這是第二版的手稿，完成於2009.08.17 頁數:333 經典人物Gallager不多加介紹 這本書對Discrete-time Stochastic Proccesses描述非常透徹，很值得一讀的書！

Introduction to stochastic calculus with applications.pdf Fima C.Klebaner

In probability theory, a stochastic process , or sometimes random process (widely used) is a collection of random variables; this is often used to represent the evolution of some random value, or system, over time. This is the probabilistic counterpart to a deterministic process (or deterministic system). Instead of describing a process which can only evolve in one way (as in the case, for example, of solutions of an ordinary differential equation), in a stochastic or random process there is some indeterminacy: even if the initial condition (or starting point) is known, there are several (often infinitely many) directions in which the process may evolve. -Wiki

Stochastic Differential Equations, An Introduction with Applications, Sixth Edition, Springer-Verlag Heidelberg New York 2003, by Bernt Øksendal. This is a not very clear version.

Discrete Stochastic Processes Gallager

随机过程模型、估计与控制的权威之作，内容通俗易懂，是一本非常不错的入门级读物。

Stochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdfStochastic calculus for finance I_by S.E.Shreve.pdf