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I have read a course in Markov processes at my uni (Im a graduate student in Lund, Sweden) and would like to dig a bit deeper into the field. The book provided for that course was written in by a professor in Swedish and is way too elementary for my taste.

To give you an idea of which level I am interested in I have read several other courses in inference theory, time series and probability theory so I am not completely new in the subject. I am also trying to learn more about measure theory to be able to dig deeper in the field.

Do you have any tips on good literature concerning Markov chains and processes?

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up vote 5 down vote accepted

For a basic introduction (so basic they might be below you), you might want to try

An Introduction to Stochastic Modeling (Karlin and Taylor).


Stochastic Processes (Ross).

Then there is

A First Course in Stochastic Processes (also Karlin and Taylor).


A Second Course in Stochastic Processes (also Karlin and Taylor).

Another introduction that is a bit more in depth introduction is given by Stroock called

An Introduction to Markov Processes.

There are also tons of books on more specialized topics, but those should be a good base I think.

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Thanks for the tips, I will look them up. I do want something more than introductions but "An Introduction to Markov Processes" seems nice and exists on Springer Link, which I have access to, so I can check it out online. – while Dec 11 '12 at 15:32
If you're looking for something more advanced, you probably want a specific area of stochastic processes or something. A good read is, Stochastic Differential Equations, another one in Brownian Motion. – R S Dec 11 '12 at 16:31
I will check them out! Thanks again! – while Dec 11 '12 at 19:31

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