Introduction to stochastic processes

This book is an outgrowth of lectures in Mathematics 240, "Applied Stochastic Processes," which I have taught a number of times at Duke University. The majority of the students in the course are graduate students from departments other than mathematics, including computer science, economics, business, biological sciences, psychology, physics, statistics, and engineering. There have also been graduate students from the mathematics department as well as some advanced undergraduates. The mathematical background of the students varies greatly, and the particular areas of stochastic processes that are relevant for their research also vary greatly.