Average Reviews:
(More customer reviews)I have found this book to be a fantastic resource for practitioners (including myself and colleagues) who need to find known results and/or develop new ones by applying clear probabilistic (especially, sample-path) thinking to new problems. To learn the material and frameworks for the first time, it is perhaps still impossible to beat Feller. (Grimmett and Stirzaker is a great introduction in the same tradition and friendlier than Ross.) But once one has been out in the real world doing applied stochastic modeling fro a while, this book of Ross's becomes extremely valuable! It has many results in it that are difficult or impossible to find elsewhere and that are pretty easy to locate here. Moreover, the proofs are explained very clearly, though briefly, so that if it has been a while since you have had to do problems sets, the style of thinking will come back in a hurry on reading Ross's exposition. Finally, in contrast to some other good books (like Hoel et al.), Ross's notation tends to be very clear and intuitive -- very close to what many authors choose in their journal articles -- so that one can immediately follow a particular result and exposition without having to read through a lot of the rest of the book to understand the notation. This is a real benefit for folks who just want to find and use what is known to help solve some new problems.
In summary, I agree with others that this may not be the right book to learn stochastic processes from for the first time, but it is well worth the (huge) price when you need an up-to-date, clearly explained source to help you solve real-world problems.
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