A First Look At Stochastic Processes

Author : Jeffrey S Rosenthal
Publisher : World Scientific
Page : 213 pages
File Size : 40,8 Mb
Release : 2019-09-26
Category : Mathematics
ISBN : 9789811207921

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A First Look At Stochastic Processes by Jeffrey S Rosenthal Pdf

This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and renewal theory.Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms.The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this fascinating subject as easily and painlessly as possible.

Author : Jeffrey S. Rosenthal
Publisher : Unknown
Page : 213 pages
File Size : 41,9 Mb
Release : 2020
Category : Electronic books
ISBN : 9811207917

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A First Look at Stochastic Processes by Jeffrey S. Rosenthal Pdf

Author : Jeffrey Seth Rosenthal
Publisher : World Scientific
Page : 238 pages
File Size : 53,7 Mb
Release : 2006
Category : Mathematics
ISBN : 9789812703705

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A First Look at Rigorous Probability Theory by Jeffrey Seth Rosenthal Pdf

Features an introduction to probability theory using measure theory. This work provides proofs of the essential introductory results and presents the measure theory and mathematical details in terms of intuitive probabilistic concepts, rather than as separate, imposing subjects.

Author : Syski
Publisher : CRC Press
Page : 446 pages
File Size : 48,8 Mb
Release : 2020-10-29
Category : Mathematics
ISBN : 9781000147308

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Random Processes by Syski Pdf

This book develops appreciation of the ingenuity involved in the mathematical treatment of random phenomena, and of the power of the mathematical methods employed in the solution of applied problems. It is intended to students interested in applications of probability to their disciplines.

Author : Jeffrey S. Rosenthal
Publisher : World Scientific
Page : 200 pages
File Size : 53,5 Mb
Release : 2000
Category : Mathematics
ISBN : 9810243227

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A First Look at Rigorous Probability Theory by Jeffrey S. Rosenthal Pdf

This textbook is an introduction to rigorous probability theory using measure theory. It provides rigorous, complete proofs of all the essential introductory mathematical results of probability theory and measure theory. More advanced or specialized areas are entirely omitted or only hinted at. For example, the text includes a complete proof of the classical central limit theorem, including the necessary continuity theorem for characteristic functions, but the more general Lindeberg central limit theorem is only outlined and is not proved. Similarly, all necessary facts from measure theory are proved before they are used, but more abstract or advanced measure theory results are not included. Furthermore, measure theory is discussed as much as possible purely in terms of probability, as opposed to being treated as a separate subject which must be mastered before probability theory can be understood.

Author : Richard Durrett
Publisher : Springer
Page : 282 pages
File Size : 55,6 Mb
Release : 2016-11-07
Category : Mathematics
ISBN : 9783319456140

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Essentials of Stochastic Processes by Richard Durrett Pdf

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Author : Pierre Brémaud
Publisher : Springer Nature
Page : 713 pages
File Size : 46,7 Mb
Release : 2020-04-07
Category : Mathematics
ISBN : 9783030401832

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Probability Theory and Stochastic Processes by Pierre Brémaud Pdf

The ultimate objective of this book is to present a panoramic view of the main stochastic processes which have an impact on applications, with complete proofs and exercises. Random processes play a central role in the applied sciences, including operations research, insurance, finance, biology, physics, computer and communications networks, and signal processing. In order to help the reader to reach a level of technical autonomy sufficient to understand the presented models, this book includes a reasonable dose of probability theory. On the other hand, the study of stochastic processes gives an opportunity to apply the main theoretical results of probability theory beyond classroom examples and in a non-trivial manner that makes this discipline look more attractive to the applications-oriented student. One can distinguish three parts of this book. The first four chapters are about probability theory, Chapters 5 to 8 concern random sequences, or discrete-time stochastic processes, and the rest of the book focuses on stochastic processes and point processes. There is sufficient modularity for the instructor or the self-teaching reader to design a course or a study program adapted to her/his specific needs. This book is in a large measure self-contained.

Author : Samuel Karlin
Publisher : Academic Press
Page : 514 pages
File Size : 40,6 Mb
Release : 2014-05-12
Category : Mathematics
ISBN : 9781483268095

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A First Course in Stochastic Processes by Samuel Karlin Pdf

A First Course in Stochastic Processes focuses on several principal areas of stochastic processes and the diversity of applications of stochastic processes, including Markov chains, Brownian motion, and Poisson processes. The publication first takes a look at the elements of stochastic processes, Markov chains, and the basic limit theorem of Markov chains and applications. Discussions focus on criteria for recurrence, absorption probabilities, discrete renewal equation, classification of states of a Markov chain, and review of basic terminologies and properties of random variables and distribution functions. The text then examines algebraic methods in Markov chains and ratio theorems of transition probabilities and applications. The manuscript elaborates on the sums of independent random variables as a Markov chain, classical examples of continuous time Markov chains, and continuous time Markov chains. Topics include differentiability properties of transition probabilities, birth and death processes with absorbing states, general pure birth processes and Poisson processes, and recurrence properties of sums of independent random variables. The book then ponders on Brownian motion, compounding stochastic processes, and deterministic and stochastic genetic and ecological processes. The publication is a valuable source of information for readers interested in stochastic processes.

Author : Wolfgang Paul,Jörg Baschnagel
Publisher : Springer Science & Business Media
Page : 288 pages
File Size : 48,8 Mb
Release : 2013-07-11
Category : Science
ISBN : 9783319003276

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Stochastic Processes by Wolfgang Paul,Jörg Baschnagel Pdf

This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.

Author : Edward P.C. Kao
Publisher : Courier Dover Publications
Page : 451 pages
File Size : 47,5 Mb
Release : 2019-12-18
Category : Computers
ISBN : 9780486837925

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An Introduction to Stochastic Processes by Edward P.C. Kao Pdf

This incorporation of computer use into teaching and learning stochastic processes takes an applications- and computer-oriented approach rather than a mathematically rigorous approach. Solutions Manual available to instructors upon request. 1997 edition.

Author : Kurt Jacobs
Publisher : Cambridge University Press
Page : 203 pages
File Size : 54,9 Mb
Release : 2010-02-18
Category : Science
ISBN : 9781139486798

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Stochastic Processes for Physicists by Kurt Jacobs Pdf

Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.

Author : Robert G. Gallager
Publisher : Cambridge University Press
Page : 559 pages
File Size : 42,7 Mb
Release : 2013-12-12
Category : Technology & Engineering
ISBN : 9781107435315

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Stochastic Processes by Robert G. Gallager Pdf

This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

Author : Pierre Del Moral,Spiridon Penev
Publisher : CRC Press
Page : 866 pages
File Size : 41,9 Mb
Release : 2017-02-24
Category : Mathematics
ISBN : 9781498701846

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Stochastic Processes by Pierre Del Moral,Spiridon Penev Pdf

Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.

Author : Narahari Umanath Prabhu
Publisher : World Scientific
Page : 356 pages
File Size : 49,6 Mb
Release : 2007
Category : Mathematics
ISBN : 9789812706263

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Stochastic Processes by Narahari Umanath Prabhu Pdf

Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory and random walks deal inadequately with their applications. Written in a simple and accessible manner, this book addresses that inadequacy and provides guidelines and tools to study the applications. The coverage includes research developments in Markov property, martingales, regenerative phenomena and Tauberian theorems, and covers measure theory at an elementary level.

Author : Paul G. Hoel,Sidney C. Port,Charles J. Stone
Publisher : Waveland Press
Page : 212 pages
File Size : 49,7 Mb
Release : 1986-12-01
Category : Mathematics
ISBN : 9781478608998

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Introduction to Stochastic Processes by Paul G. Hoel,Sidney C. Port,Charles J. Stone Pdf

An excellent introduction for computer scientists and electrical and electronics engineers who would like to have a good, basic understanding of stochastic processes! This clearly written book responds to the increasing interest in the study of systems that vary in time in a random manner. It presents an introductory account of some of the important topics in the theory of the mathematical models of such systems. The selected topics are conceptually interesting and have fruitful application in various branches of science and technology.