Basics Of Applied Stochastic Processes

Author : Richard Serfozo
Publisher : Springer Science & Business Media
Page : 452 pages
File Size : 44,6 Mb
Release : 2009-01-24
Category : Mathematics
ISBN : 9783540893325

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Basics of Applied Stochastic Processes by Richard Serfozo Pdf

Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.

Author : Mario Lefebvre
Publisher : Springer Science & Business Media
Page : 395 pages
File Size : 44,8 Mb
Release : 2007-12-14
Category : Mathematics
ISBN : 9780387489766

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Applied Stochastic Processes by Mario Lefebvre Pdf

This book uses a distinctly applied framework to present the most important topics in stochastic processes, including Gaussian and Markovian processes, Markov Chains, Poisson processes, Brownian motion and queueing theory. The book also examines in detail special diffusion processes, with implications for finance, various generalizations of Poisson processes, and renewal processes. It contains numerous examples and approximately 350 advanced problems that reinforce both concepts and applications. Entertaining mini-biographies of mathematicians give an enriching historical context. The book includes statistical tables and solutions to the even-numbered problems at the end.

Author : Floyd B. Hanson
Publisher : SIAM
Page : 472 pages
File Size : 41,8 Mb
Release : 2007-01-01
Category : Mathematics
ISBN : 0898718635

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Applied Stochastic Processes and Control for Jump-Diffusions by Floyd B. Hanson Pdf

This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

Author : Ming Liao
Publisher : CRC Press
Page : 209 pages
File Size : 43,5 Mb
Release : 2013-07-22
Category : Business & Economics
ISBN : 9781466589339

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Applied Stochastic Processes by Ming Liao Pdf

Applied Stochastic Processes presents a concise, graduate-level treatment of the subject, emphasizing applications and practical computation. It also establishes the complete mathematical theory in an accessible way. After reviewing basic probability, the text covers Poisson processes, renewal processes, discrete- and continuous-time Markov chains, and Brownian motion. It also offers an introduction to stochastic differential equations. While the main applications described are queues, the book also considers other examples, such as the mathematical model of a single stock market. With exercises in most sections, this book provides a clear, practical introduction for beginning graduate students. The material is presented in a straightforward manner using short, motivating examples. In addition, the author develops the mathematical theory with a strong emphasis on probability intuition.

Author : A. Goswami,B.V. Rao
Publisher : Springer
Page : 226 pages
File Size : 50,9 Mb
Release : 2006-09-15
Category : Mathematics
ISBN : 9789386279316

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A Course in Applied Stochastic Processes by A. Goswami,B.V. Rao Pdf

Author : Richard Durrett
Publisher : Springer
Page : 282 pages
File Size : 50,6 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 : U. Narayan Bhat,Gregory K. Miller
Publisher : Wiley-Interscience
Page : 496 pages
File Size : 42,5 Mb
Release : 2002-09-06
Category : Mathematics
ISBN : STANFORD:36105111769761

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Elements of Applied Stochastic Processes by U. Narayan Bhat,Gregory K. Miller Pdf

This 3rd edition of the successful Elements of Applied Stochastic Processes improves on the last edition by condensing the material and organising it into a more teachable format. It provides more in-depth coverage of Markov chains and simple Markov process and gives added emphasis to statistical inference in stochastic processes. Integration of theory and application offers improved teachability Provides a comprehensive introduction to stationary processes and time series analysis Integrates a broad set of applications into the text Utilizes a wealth of examples from research papers and monographs

Author : Ming Liao
Publisher : CRC Press
Page : 205 pages
File Size : 49,7 Mb
Release : 2013-07-22
Category : Business & Economics
ISBN : 9781466589346

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Applied Stochastic Processes by Ming Liao Pdf

Applied Stochastic Processes presents a concise, graduate-level treatment of the subject, emphasizing applications and practical computation. It also establishes the complete mathematical theory in an accessible way. After reviewing basic probability, the text covers Poisson processes, renewal processes, discrete- and continuous-time Markov chains, and Brownian motion. It also offers an introduction to stochastic differential equations. While the main applications described are queues, the book also considers other examples, such as the mathematical model of a single stock market. With exercises in most sections, this book provides a clear, practical introduction for beginning graduate students. The material is presented in a straightforward manner using short, motivating examples. In addition, the author develops the mathematical theory with a strong emphasis on probability intuition.

Author : Shunji Osaki
Publisher : Springer Science & Business Media
Page : 278 pages
File Size : 44,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642846816

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Applied Stochastic System Modeling by Shunji Osaki Pdf

This book was written for an introductory one-semester or two-quarter course in stochastic processes and their applications. The reader is assumed to have a basic knowledge of analysis and linear algebra at an undergraduate level. Stochastic models are applied in many fields such as engineering systems, physics, biology, operations research, business, economics, psychology, and linguistics. Stochastic modeling is one of the promising kinds of modeling in applied probability theory. This book is intended to introduce basic stochastic processes: Poisson pro cesses, renewal processes, discrete-time Markov chains, continuous-time Markov chains, and Markov-renewal processes. These basic processes are introduced from the viewpoint of elementary mathematics without going into rigorous treatments. This book also introduces applied stochastic system modeling such as reliability and queueing modeling. Chapters 1 and 2 deal with probability theory, which is basic and prerequisite to the following chapters. Many important concepts of probabilities, random variables, and probability distributions are introduced. Chapter 3 develops the Poisson process, which is one of the basic and im portant stochastic processes. Chapter 4 presents the renewal process. Renewal theoretic arguments are then used to analyze applied stochastic models. Chapter 5 develops discrete-time Markov chains. Following Chapter 5, Chapter 6 deals with continuous-time Markov chains. Continuous-time Markov chains have im portant applications to queueing models as seen in Chapter 9. A one-semester course or two-quarter course consists of a brief review of Chapters 1 and 2, fol lowed in order by Chapters 3 through 6.

Author : Grigorios A. Pavliotis
Publisher : Springer
Page : 345 pages
File Size : 43,7 Mb
Release : 2014-11-19
Category : Mathematics
ISBN : 9781493913237

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Stochastic Processes and Applications by Grigorios A. Pavliotis Pdf

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Author : Sidney I. Resnick
Publisher : Springer Science & Business Media
Page : 640 pages
File Size : 40,7 Mb
Release : 2013-12-11
Category : Mathematics
ISBN : 9781461203872

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Adventures in Stochastic Processes by Sidney I. Resnick Pdf

Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.

Author : Richard M. Feldman,Ciriaco Valdez-Flores
Publisher : Springer Science & Business Media
Page : 397 pages
File Size : 49,9 Mb
Release : 2009-11-27
Category : Technology & Engineering
ISBN : 9783642051586

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Applied Probability and Stochastic Processes by Richard M. Feldman,Ciriaco Valdez-Flores Pdf

This book is a result of teaching stochastic processes to junior and senior undergr- uates and beginning graduate students over many years. In teaching such a course, we have realized a need to furnish students with material that gives a mathematical presentation while at the same time providing proper foundations to allow students to build an intuitive feel for probabilistic reasoning. We have tried to maintain a b- ance in presenting advanced but understandable material that sparks an interest and challenges students, without the discouragement that often comes as a consequence of not understanding the material. Our intent in this text is to develop stochastic p- cesses in an elementary but mathematically precise style and to provide suf?cient examples and homework exercises that will permit students to understand the range of application areas for stochastic processes. We also practice active learning in the classroom. In other words, we believe that the traditional practice of lecturing continuously for 50 to 75 minutes is not a very effective method for teaching. Students should somehow engage in the subject m- ter during the teaching session. One effective method for active learning is, after at most 20 minutes of lecture, to assign a small example problem for the students to work and one important tool that the instructor can utilize is the computer. So- times we are fortunate to lecture students in a classroom containing computers with a spreadsheet program, usually Microsoft’s Excel.

Author : Zdzislaw Brzezniak,Tomasz Zastawniak
Publisher : Springer Science & Business Media
Page : 244 pages
File Size : 51,6 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781447105336

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Basic Stochastic Processes by Zdzislaw Brzezniak,Tomasz Zastawniak Pdf

Stochastic processes are tools used widely by statisticians and researchers working in the mathematics of finance. This book for self-study provides a detailed treatment of conditional expectation and probability, a topic that in principle belongs to probability theory, but is essential as a tool for stochastic processes. The book centers on exercises as the main means of explanation.

Author : U. Narayan Bhat
Publisher : Unknown
Page : 712 pages
File Size : 54,8 Mb
Release : 1984-10-25
Category : Mathematics
ISBN : MINN:31951000009757B

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Elements of Applied Stochastic Processes by U. Narayan Bhat Pdf

Fundamentals of Queueing Theory, 2nd Edition Donald Gross and Carl M. Harris A graduate text and reference treating queueing theory from the development of standard models to applications. The emphasis is on real analysis of queueing systems, applications, and problem solving. It has been brought up-to-date by modernizing older treatments. 1985 (0 471-89067-7) 475 pp. Multivariate Descriptive Analysis Correspondence Analysis and Related Techniques for Large Matrices Ludovic Lebart, Alain Morineau and Kenneth M. Warwick Presents a set of statistical methods for exploratory analysis of large date sets and categorical data. This unique approach uses graphical aspects of multidimensional scaling techniques within the context of exploratory data analysis. 1984 (0 471-86743-8) 231 pp. Introduction to Linear Regression Analysis Douglas C. Montgomery and Elizabeth A. Peck A definitive introduction to linear regression analysis covering basic topics as well as recent approaches in the field. It blends theory and application in a way that enables readers to apply regression methodology in a variety of practical settings. Many detailed examples drawn directly from various fields of engineering, physical science, and the management sciences provide clear guidance to the use of the techniques. The interface with widely available computer programs for regression analysis is illustrated throughout with numerous actual computer printouts. 1982 (0 471-05850-5) 504 pp.

Author : Simo Särkkä,Arno Solin
Publisher : Cambridge University Press
Page : 327 pages
File Size : 42,9 Mb
Release : 2019-05-02
Category : Business & Economics
ISBN : 9781316510087

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Applied Stochastic Differential Equations by Simo Särkkä,Arno Solin Pdf

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.