Introduction To Stochastic Processes Second Edition

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Introduction to Stochastic Processes

Gregory F. Lawler
Introduction to Stochastic Processes Book PDF

Author : Gregory F. Lawler
Publisher : CRC Press
Page : 249 pages
File Size : 40,9 Mb
Release : 2018-10-03
Category : Mathematics
ISBN : 9781482286113

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Introduction to Stochastic Processes by Gregory F. Lawler Pdf

Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory. For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter. New to the Second Edition: Expanded chapter on stochastic integration that introduces modern mathematical finance Introduction of Girsanov transformation and the Feynman-Kac formula Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.

Introduction to Stochastic Models

Roe Goodman
Introduction to Stochastic Models Book PDF

Author : Roe Goodman
Publisher : Courier Corporation
Page : 370 pages
File Size : 40,7 Mb
Release : 2006-01-01
Category : Mathematics
ISBN : 9780486450377

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Introduction to Stochastic Models by Roe Goodman Pdf

Newly revised by the author, this undergraduate-level text introduces the mathematical theory of probability and stochastic processes. Using both computer simulations and mathematical models of random events, it comprises numerous applications to the physical and biological sciences, engineering, and computer science. Subjects include sample spaces, probabilities distributions and expectations of random variables, conditional expectations, Markov chains, and the Poisson process. Additional topics encompass continuous-time stochastic processes, birth and death processes, steady-state probabilities, general queuing systems, and renewal processes. Each section features worked examples, and exercises appear at the end of each chapter, with numerical solutions at the back of the book. Suggestions for further reading in stochastic processes, simulation, and various applications also appear at the end.

Stochastic Processes

Peter Watts Jones,Peter Smith
Stochastic Processes Book PDF

Author : Peter Watts Jones,Peter Smith
Publisher : CRC Press
Page : 233 pages
File Size : 49,6 Mb
Release : 2009-10-09
Category : Mathematics
ISBN : 9781420099805

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Stochastic Processes by Peter Watts Jones,Peter Smith Pdf

Based on a highly popular, well-established course taught by the authors, Stochastic Processes: An Introduction, Second Edition discusses the modeling and analysis of random experiments using the theory of probability. It focuses on the way in which the results or outcomes of experiments vary and evolve over time. The text begins with a review of relevant fundamental probability. It then covers several basic gambling problems, random walks, and Markov chains. The authors go on to develop random processes continuous in time, including Poisson, birth and death processes, and general population models. While focusing on queues, they present an extended discussion on the analysis of associated stationary processes. The book also explores reliability and other random processes, such as branching processes, martingales, and a simple epidemic. The appendix contains key mathematical results for reference. Ideal for a one-semester course on stochastic processes, this concise, updated textbook makes the material accessible to students by avoiding specialized applications and instead highlighting simple applications and examples. The associated website contains Mathematica® and R programs that offer flexibility in creating graphs and performing computations.

Introduction to Stochastic Processes, Second Edition

Gregory F. Lawler
Introduction to Stochastic Processes Second Edition Book PDF

Author : Gregory F. Lawler
Publisher : CRC Press
Page : 262 pages
File Size : 45,7 Mb
Release : 2006-05-16
Category : Mathematics
ISBN : 158488651X

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Introduction to Stochastic Processes, Second Edition by Gregory F. Lawler Pdf

Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory. For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter. New to the Second Edition: Expanded chapter on stochastic integration that introduces modern mathematical finance Introduction of Girsanov transformation and the Feynman-Kac formula Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.

Stochastic Processes

Peter Watts Jones,Peter Smith
Stochastic Processes Book PDF

Author : Peter Watts Jones,Peter Smith
Publisher : CRC Press
Page : 255 pages
File Size : 40,9 Mb
Release : 2017-10-30
Category : Mathematics
ISBN : 9781498778121

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Stochastic Processes by Peter Watts Jones,Peter Smith Pdf

Based on a well-established and popular course taught by the authors over many years, Stochastic Processes: An Introduction, Third Edition, discusses the modelling and analysis of random experiments, where processes evolve over time. The text begins with a review of relevant fundamental probability. It then covers gambling problems, random walks, and Markov chains. The authors go on to discuss random processes continuous in time, including Poisson, birth and death processes, and general population models, and present an extended discussion on the analysis of associated stationary processes in queues. The book also explores reliability and other random processes, such as branching, martingales, and simple epidemics. A new chapter describing Brownian motion, where the outcomes are continuously observed over continuous time, is included. Further applications, worked examples and problems, and biographical details have been added to this edition. Much of the text has been reworked. The appendix contains key results in probability for reference. This concise, updated book makes the material accessible, highlighting simple applications and examples. A solutions manual with fully worked answers of all end-of-chapter problems, and Mathematica® and R programs illustrating many processes discussed in the book, can be downloaded from crcpress.com.

An Introduction to Stochastic Processes and Their Applications

Petar Todorovic
An Introduction to Stochastic Processes and Their Applications Book PDF

Author : Petar Todorovic
Publisher : Springer Science & Business Media
Page : 302 pages
File Size : 45,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461397427

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An Introduction to Stochastic Processes and Their Applications by Petar Todorovic Pdf

This text on stochastic processes and their applications is based on a set of lectures given during the past several years at the University of California, Santa Barbara (UCSB). It is an introductory graduate course designed for classroom purposes. Its objective is to provide graduate students of statistics with an overview of some basic methods and techniques in the theory of stochastic processes. The only prerequisites are some rudiments of measure and integration theory and an intermediate course in probability theory. There are more than 50 examples and applications and 243 problems and complements which appear at the end of each chapter. The book consists of 10 chapters. Basic concepts and definitions are pro vided in Chapter 1. This chapter also contains a number of motivating ex amples and applications illustrating the practical use of the concepts. The last five sections are devoted to topics such as separability, continuity, and measurability of random processes, which are discussed in some detail. The concept of a simple point process on R+ is introduced in Chapter 2. Using the coupling inequality and Le Cam's lemma, it is shown that if its counting function is stochastically continuous and has independent increments, the point process is Poisson. When the counting function is Markovian, the sequence of arrival times is also a Markov process. Some related topics such as independent thinning and marked point processes are also discussed. In the final section, an application of these results to flood modeling is presented.

Essentials of Stochastic Processes

Richard Durrett
Essentials of Stochastic Processes Book PDF

Author : Richard Durrett
Publisher : Springer
Page : 282 pages
File Size : 53,5 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.

An Introduction to Stochastic Processes with Applications to Biology

Linda J. S. Allen
An Introduction to Stochastic Processes with Applications to Biology Book PDF

Author : Linda J. S. Allen
Publisher : CRC Press
Page : 486 pages
File Size : 54,7 Mb
Release : 2010-12-02
Category : Mathematics
ISBN : 9781439894682

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An Introduction to Stochastic Processes with Applications to Biology by Linda J. S. Allen Pdf

An Introduction to Stochastic Processes with Applications to Biology, Second Edition presents the basic theory of stochastic processes necessary in understanding and applying stochastic methods to biological problems in areas such as population growth and extinction, drug kinetics, two-species competition and predation, the spread of epidemics, and

An Introduction to Stochastic Processes and Their Applications

Chin Long Chiang
An Introduction to Stochastic Processes and Their Applications Book PDF

Author : Chin Long Chiang
Publisher : Krieger Publishing Company
Page : 552 pages
File Size : 55,5 Mb
Release : 1980
Category : Biomathematics
ISBN : UOM:39015007663761

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An Introduction to Stochastic Processes and Their Applications by Chin Long Chiang Pdf

Random variables. Probability generating functions. Exponential-type distributions and maximum likelihood estimation. Branching process, random walk and ruin problem. Markov chains. Algebraic treatment of finite Markov chains. Renewal processes. Some stochastic models of population growth. A general birth process, an equality and an epidemic model. Birth-death processes and queueing processes. A simple illness-death process - fix-neyman processes. Multiple transition probabilities in the simple illness death process. Multiple transition time in the simple illness death process - an alternating renewal process. The kolmogorov differential equations and finite markov processes. Kolmogorov differential equations and finite markov processes - continuation. A general illness-death process. Migration processes and birth-illness-death processes.

Introduction to Stochastic Processes

Paul G. Hoel,Sidney C. Port,Charles J. Stone
Introduction to Stochastic Processes Book PDF

Author : Paul G. Hoel,Sidney C. Port,Charles J. Stone
Publisher : Waveland Press
Page : 212 pages
File Size : 54,5 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.

An Introduction to Continuous-Time Stochastic Processes

Vincenzo Capasso,David Bakstein
An Introduction to Continuous Time Stochastic Processes Book PDF

Author : Vincenzo Capasso,David Bakstein
Publisher : Springer Science & Business Media
Page : 438 pages
File Size : 55,7 Mb
Release : 2012-07-27
Category : Mathematics
ISBN : 9780817683467

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An Introduction to Continuous-Time Stochastic Processes by Vincenzo Capasso,David Bakstein Pdf

Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, this concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required.

Probability and Stochastic Processes

Roy D. Yates,David J. Goodman
Probability and Stochastic Processes Book PDF

Author : Roy D. Yates,David J. Goodman
Publisher : John Wiley & Sons
Page : 514 pages
File Size : 44,8 Mb
Release : 2014-01-28
Category : Mathematics
ISBN : 9781118324561

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Probability and Stochastic Processes by Roy D. Yates,David J. Goodman Pdf

This text introduces engineering students to probability theory and stochastic processes. Along with thorough mathematical development of the subject, the book presents intuitive explanations of key points in order to give students the insights they need to apply math to practical engineering problems. The first seven chapters contain the core material that is essential to any introductory course. In one-semester undergraduate courses, instructors can select material from the remaining chapters to meet their individual goals. Graduate courses can cover all chapters in one semester.

Introduction to Stochastic Processes with R

Robert P. Dobrow
Introduction to Stochastic Processes with R Book PDF

Author : Robert P. Dobrow
Publisher : John Wiley & Sons
Page : 503 pages
File Size : 41,8 Mb
Release : 2016-03-07
Category : Mathematics
ISBN : 9781118740651

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Introduction to Stochastic Processes with R by Robert P. Dobrow Pdf

An introduction to stochastic processes through the use of R Introduction to Stochastic Processes with R is an accessible and well-balanced presentation of the theory of stochastic processes, with an emphasis on real-world applications of probability theory in the natural and social sciences. The use of simulation, by means of the popular statistical software R, makes theoretical results come alive with practical, hands-on demonstrations. Written by a highly-qualified expert in the field, the author presents numerous examples from a wide array of disciplines, which are used to illustrate concepts and highlight computational and theoretical results. Developing readers’ problem-solving skills and mathematical maturity, Introduction to Stochastic Processes with R features: More than 200 examples and 600 end-of-chapter exercises A tutorial for getting started with R, and appendices that contain review material in probability and matrix algebra Discussions of many timely and stimulating topics including Markov chain Monte Carlo, random walk on graphs, card shuffling, Black–Scholes options pricing, applications in biology and genetics, cryptography, martingales, and stochastic calculus Introductions to mathematics as needed in order to suit readers at many mathematical levels A companion web site that includes relevant data files as well as all R code and scripts used throughout the book Introduction to Stochastic Processes with R is an ideal textbook for an introductory course in stochastic processes. The book is aimed at undergraduate and beginning graduate-level students in the science, technology, engineering, and mathematics disciplines. The book is also an excellent reference for applied mathematicians and statisticians who are interested in a review of the topic.

Probability, Statistics, and Stochastic Processes

Peter Olofsson,Mikael Andersson
Probability Statistics and Stochastic Processes Book PDF

Author : Peter Olofsson,Mikael Andersson
Publisher : John Wiley & Sons
Page : 573 pages
File Size : 51,5 Mb
Release : 2012-05-22
Category : Mathematics
ISBN : 9780470889749

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Probability, Statistics, and Stochastic Processes by Peter Olofsson,Mikael Andersson Pdf

Praise for the First Edition ". . . an excellent textbook . . . well organized and neatly written." —Mathematical Reviews ". . . amazingly interesting . . ." —Technometrics Thoroughly updated to showcase the interrelationships between probability, statistics, and stochastic processes, Probability, Statistics, and Stochastic Processes, Second Edition prepares readers to collect, analyze, and characterize data in their chosen fields. Beginning with three chapters that develop probability theory and introduce the axioms of probability, random variables, and joint distributions, the book goes on to present limit theorems and simulation. The authors combine a rigorous, calculus-based development of theory with an intuitive approach that appeals to readers' sense of reason and logic. Including more than 400 examples that help illustrate concepts and theory, the Second Edition features new material on statistical inference and a wealth of newly added topics, including: Consistency of point estimators Large sample theory Bootstrap simulation Multiple hypothesis testing Fisher's exact test and Kolmogorov-Smirnov test Martingales, renewal processes, and Brownian motion One-way analysis of variance and the general linear model Extensively class-tested to ensure an accessible presentation, Probability, Statistics, and Stochastic Processes, Second Edition is an excellent book for courses on probability and statistics at the upper-undergraduate level. The book is also an ideal resource for scientists and engineers in the fields of statistics, mathematics, industrial management, and engineering.

An Introduction to Probability and Stochastic Processes

Marc A. Berger
An Introduction to Probability and Stochastic Processes Book PDF

Author : Marc A. Berger
Publisher : Springer Science & Business Media
Page : 228 pages
File Size : 46,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461227267

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An Introduction to Probability and Stochastic Processes by Marc A. Berger Pdf

These notes were written as a result of my having taught a "nonmeasure theoretic" course in probability and stochastic processes a few times at the Weizmann Institute in Israel. I have tried to follow two principles. The first is to prove things "probabilistically" whenever possible without recourse to other branches of mathematics and in a notation that is as "probabilistic" as possible. Thus, for example, the asymptotics of pn for large n, where P is a stochastic matrix, is developed in Section V by using passage probabilities and hitting times rather than, say, pulling in Perron Frobenius theory or spectral analysis. Similarly in Section II the joint normal distribution is studied through conditional expectation rather than quadratic forms. The second principle I have tried to follow is to only prove results in their simple forms and to try to eliminate any minor technical com putations from proofs, so as to expose the most important steps. Steps in proofs or derivations that involve algebra or basic calculus are not shown; only steps involving, say, the use of independence or a dominated convergence argument or an assumptjon in a theorem are displayed. For example, in proving inversion formulas for characteristic functions I omit steps involving evaluation of basic trigonometric integrals and display details only where use is made of Fubini's Theorem or the Dominated Convergence Theorem.