Introduction to Stochastic Processes by Tapas Kumar Chandra

Describes the main features of major stochastic processes, giving definition of basic concepts and presenting key results with rigorous proofs. The theory is developed from basic foundation with a view to build a sound understanding of the subject. An introduction to ergodic theory is presented in the second part of the book.

"Theory of Stochastic Processes is one of the major and most important offshoots of Probability Theory. It is a very rich subject with applications in various branches of science, like Physics, Chemistry, Biology, Engineering and others, and of social science, like Economics, Finance etc. It is an universal truth that nothing remains constant in this world, but changes with time; and from the modern view-point, these changes are never deterministic but influenced by numerous chance factors, and hence, random in nature, governed by some probability distribution. In other words, they are all, in some form or other, stochastic processes. So for the scientific study of any phenomenon in this real world, theory of stochastic processes offers the only recourse to rely on. Thus, a sound understanding of this theory is of paramount importance.

In this book, we have tried to introduce the reader to the elegance of this theory and to the immense possibilities it opens up. The reader is assumed to be familiar with basic theory of modern probability, for which our previous book may prove handy."

"Most unfortunately, Professor Chandra had left us for his heavenly abode on June 19, 2017, before this book was ready for publication. I deeply mourn his sudden and untimely demise. May his soul rest in peace. Wherever he is now, I do believe that he is happy to know that finally our dream-project is about to see the light of day." - Sreela Gangopadhyay