Stochastic Storage Processes

Author : N.U. Prabhu
Publisher : Springer
Page : 207 pages
File Size : 54,8 Mb
Release : 2012-09-27
Category : Mathematics
ISBN : 1461272602

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Stochastic Storage Processes by N.U. Prabhu Pdf

A self-contained treatment of stochastic processes arising from models for queues, insurance risk, and dams and data communication, using their sample function properties. The approach is based on the fluctuation theory of random walks, L vy processes, and Markov-additive processes, in which Wiener-Hopf factorisation plays a central role. This second edition includes results for the virtual waiting time and queue length in single server queues, while the treatment of continuous time storage processes is thoroughly revised and simplified. With its prerequisite of a graduate-level course in probability and stochastic processes, this book can be used as a text for an advanced course on applied probability models.

Author : Narahari Umanath Prabhu
Publisher : Unknown
Page : 140 pages
File Size : 52,9 Mb
Release : 1980
Category : Queuing theory
ISBN : 3540905227

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Stochastic Storage Processes by Narahari Umanath Prabhu Pdf

Author : N U Prabhu
Publisher : Unknown
Page : 228 pages
File Size : 48,5 Mb
Release : 1997-12-05
Category : Electronic
ISBN : 1461217431

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Stochastic Storage Processes by N U Prabhu Pdf

Author : N. U. Prabhu
Publisher : Springer
Page : 156 pages
File Size : 45,8 Mb
Release : 2012
Category : Mathematics
ISBN : 1468401157

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Stochastic Storage Processes by N. U. Prabhu Pdf

This book is based on a course I have taught at Cornell University since 1965. The primary topic of this course was queueing theory, but related topics such as inventories, insurance risk, and dams were also included. As a text I used my earlier book, Queues and Inventories (John Wiley, New York, 1965). Over the years the emphasis in this course shifted from detailed analysis of probability models to the study of stochastic processes that arise from them, and the subtitle of the text, "A Study of Their Basic Stochastic Processes," became a more appropriate description of the course. My own research into the fluctuation theory for U:vy processes provided a new perspective on the topics discussed, and enabled me to reorganize the material. The lecture notes used for the course went through several versions, and the final version became this book. A detailed description of my approach will be found in the Introduction. I have not attempted to give credit to authors of individual results. Readers interested in the historical literature should consult the Selected Bibliography given at the end of the Introduction. The original work in this area is presented here with simpler proofs that make full use of the special features of the underlying stochastic processes. The same approach makes it possible to provide several new results. Thanks are due to Kathy King for her excellent typing of the manuscript.

Author : Narahari U. Prabhu
Publisher : Springer Science & Business Media
Page : 148 pages
File Size : 42,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781468401134

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Stochastic Storage Processes by Narahari U. Prabhu Pdf

This book is based on a course I have taught at Cornell University since 1965. The primary topic of this course was queueing theory, but related topics such as inventories, insurance risk, and dams were also included. As a text I used my earlier book, Queues and Inventories (John Wiley, New York, 1965). Over the years the emphasis in this course shifted from detailed analysis of probability models to the study of stochastic processes that arise from them, and the subtitle of the text, "A Study of Their Basic Stochastic Processes," became a more appropriate description of the course. My own research into the fluctuation theory for U:vy processes provided a new perspective on the topics discussed, and enabled me to reorganize the material. The lecture notes used for the course went through several versions, and the final version became this book. A detailed description of my approach will be found in the Introduction. I have not attempted to give credit to authors of individual results. Readers interested in the historical literature should consult the Selected Bibliography given at the end of the Introduction. The original work in this area is presented here with simpler proofs that make full use of the special features of the underlying stochastic processes. The same approach makes it possible to provide several new results. Thanks are due to Kathy King for her excellent typing of the manuscript.

Author : Narahari U Prabhu
Publisher : Unknown
Page : 156 pages
File Size : 55,6 Mb
Release : 1980-12-01
Category : Electronic
ISBN : 1468401149

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Stochastic Storage Processes by Narahari U Prabhu Pdf

Author : N.U. Prabhu
Publisher : Springer Science & Business Media
Page : 218 pages
File Size : 40,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461217428

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Stochastic Storage Processes by N.U. Prabhu Pdf

A self-contained treatment of stochastic processes arising from models for queues, insurance risk, and dams and data communication, using their sample function properties. The approach is based on the fluctuation theory of random walks, L vy processes, and Markov-additive processes, in which Wiener-Hopf factorisation plays a central role. This second edition includes results for the virtual waiting time and queue length in single server queues, while the treatment of continuous time storage processes is thoroughly revised and simplified. With its prerequisite of a graduate-level course in probability and stochastic processes, this book can be used as a text for an advanced course on applied probability models.

Author : Yixin Zhu
Publisher : Unknown
Page : 226 pages
File Size : 55,5 Mb
Release : 1989
Category : Markov processes
ISBN : CORNELL:31924058506845

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Markov-modulated Stochastic Storage Processes by Yixin Zhu Pdf

Author : Neville Nagarwalla
Publisher : Unknown
Page : 120 pages
File Size : 45,5 Mb
Release : 1990
Category : Electronic
ISBN : CORNELL:31924064005287

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Stochastic Storage Processes with Finite Boundaries by Neville Nagarwalla Pdf

Author : Stanford University. Department of Statistics,Kenneth Laurence Weldon
Publisher : Unknown
Page : 160 pages
File Size : 46,7 Mb
Release : 1969
Category : Probabilities
ISBN : STANFORD:36105025636908

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Stochastic Storage Processes with Multiple Slope Linear Inputs and Outputs by Stanford University. Department of Statistics,Kenneth Laurence Weldon Pdf

Let X(t) be the level of the storage process at time t; X(0) = 0. Starting at time 0, the level X(t) increases linearly with slope s sub i for a random length of time (the input period) after which it decreases linearly with slope g sub j for a random time (the output period). Subsequently, the process continues to alternate between periods of input and output where the input-output transitions are governed by a transition matrix P, and the output-input transitions by Q. For each input slope i and output slope j, there corresponds an input period distribution F sub i and an output period distribution M sub j which is exponential. When the zero level is a positive recurrent state, the steady state joint distributions of the level of the process and the slope is obtained. The means of these distributions are determined. The mean nonempty period is also determined. When the zero level is a transient state, the limiting distribution of the storage level is obtained.

Author : Sidney I. Resnick
Publisher : Springer Science & Business Media
Page : 640 pages
File Size : 45,9 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 : Chee Sun Won,Robert M. Gray
Publisher : Springer Science & Business Media
Page : 176 pages
File Size : 43,7 Mb
Release : 2013-11-27
Category : Computers
ISBN : 9781441988577

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Stochastic Image Processing by Chee Sun Won,Robert M. Gray Pdf

Stochastic Image Processing provides the first thorough treatment of Markov and hidden Markov random fields and their application to image processing. Although promoted as a promising approach for over thirty years, it has only been in the past few years that the theory and algorithms have developed to the point of providing useful solutions to old and new problems in image processing. Markov random fields are a multidimensional extension of Markov chains, but the generalization is complicated by the lack of a natural ordering of pixels in multidimensional spaces. Hidden Markov fields are a natural generalization of the hidden Markov models that have proved essential to the development of modern speech recognition, but again the multidimensional nature of the signals makes them inherently more complicated to handle. This added complexity contributed to the long time required for the development of successful methods and applications. This book collects together a variety of successful approaches to a complete and useful characterization of multidimensional Markov and hidden Markov models along with applications to image analysis. The book provides a survey and comparative development of an exciting and rapidly evolving field of multidimensional Markov and hidden Markov random fields with extensive references to the literature.

Author : Philip E. Protter
Publisher : Springer Science & Business Media
Page : 444 pages
File Size : 41,6 Mb
Release : 2005-03-04
Category : Mathematics
ISBN : 3540003134

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Stochastic Integration and Differential Equations by Philip E. Protter Pdf

It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.

Author : Ward Whitt
Publisher : Springer Science & Business Media
Page : 616 pages
File Size : 40,7 Mb
Release : 2006-04-11
Category : Mathematics
ISBN : 9780387217482

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Stochastic-Process Limits by Ward Whitt Pdf

From the reviews: "The material is self-contained, but it is technical and a solid foundation in probability and queuing theory is beneficial to prospective readers. [... It] is intended to be accessible to those with less background. This book is a must to researchers and graduate students interested in these areas." ISI Short Book Reviews

Author : Oliver Ibe
Publisher : Newnes
Page : 514 pages
File Size : 53,9 Mb
Release : 2013-05-22
Category : Mathematics
ISBN : 9780124078390

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Markov Processes for Stochastic Modeling by Oliver Ibe Pdf

Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. Presents both the theory and applications of the different aspects of Markov processes Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.