A Second Course In Stochastic Processes

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A Second Course In Stochastic Processes

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Author : Samuel Karlin
language : en
Publisher: Gulf Professional Publishing
Release Date : 1981-05-12

A Second Course In Stochastic Processes written by Samuel Karlin and has been published by Gulf Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981-05-12 with Business & Economics categories.

Algebraic methods in markov chains; Ratio theorems of transition probabilities and applications; Sums of independent random variables as a markov chain; Order statistics, poisson processes, and applications; Continuous time markov chains; Diffusion processes; Compouding stochastic processes; Fluctuation theory of partial sums of independent identically distributed random variables; Queueing processes.

A Second Course In Stochastic Processes

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Author : Samuel Karlin
language : en
Publisher:
Release Date : 1981

A Second Course In Stochastic Processes written by Samuel Karlin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with categories.

A First Course In Stochastic Processes

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Author : Samuel Karlin
language : en
Publisher: Academic Press
Release Date : 2012-12-02

A First Course In Stochastic Processes written by Samuel Karlin and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-02 with Mathematics categories.

The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other. The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processes not dealt with in the first edition, notably martingales, renewal and fluctuation phenomena associated with random sums, stationary stochastic processes, and diffusion theory.

Adventures In Stochastic Processes

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Author : Sidney I. Resnick
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-11

Adventures In Stochastic Processes written by Sidney I. Resnick and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-11 with Mathematics categories.

Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. In a lively and imaginative presentation, studded with examples, exercises, and applications, and supported by inclusion of computational procedures, the author has created a textbook that provides easy access to this fundamental topic for many students of applied sciences at many levels. With its carefully modularized discussion and crystal clear differentiation between rigorous proof and plausibility argument, it is accessible to beginners but flexible enough to serve as well those who come to the course with strong backgrounds. The prerequisite background for reading the book is a graduate level pre-measure theoretic probability course. No knowledge of measure theory is presumed and advanced notions of conditioning are scrupulously avoided until the later chapters of the book. The tools of applied probability---discrete spaces, Markov chains, renewal theory, point processes, branching processes, random walks, Brownian motion---are presented to the reader in illuminating discussion. Applications include such topics as queuing, storage, risk analysis, genetics, inventory, choice, economics, sociology, and other. Because of the conviction that analysts who build models should know how to build them for each class of process studied, the author has included such constructions.

Classical And Spatial Stochastic Processes

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Author : Rinaldo B. Schinazi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Classical And Spatial Stochastic Processes written by Rinaldo B. Schinazi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

This book is intended as a text for a first course in stochastic processes at the upper undergraduate or graduate levels, assuming only that the reader has had a serious calculus course-advanced calculus would even be better-as well as a first course in probability (without measure theory). In guiding the student from the simplest classical models to some of the spatial models, currently the object of considerable research, the text is aimed at a broad audience of students in biology, engineering, mathematics, and physics. The first two chapters deal with discrete Markov chains-recurrence and tran sience, random walks, birth and death chains, ruin problem and branching pro cesses-and their stationary distributions. These classical topics are treated with a modem twist: in particular, the coupling technique is introduced in the first chap ter and is used throughout. The third chapter deals with continuous time Markov chains-Poisson process, queues, birth and death chains, stationary distributions. The second half of the book treats spatial processes. This is the main difference between this work and the many others on stochastic processes. Spatial stochas tic processes are (rightly) known as being difficult to analyze. The few existing books on the subject are technically challenging and intended for a mathemat ically sophisticated reader. We picked several interesting models-percolation, cellular automata, branching random walks, contact process on a tree-and con centrated on those properties that can be analyzed using elementary methods.

Essentials Of Stochastic Processes

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Author : Richard Durrett
language : en
Publisher: Springer
Release Date : 2016-11-07

Essentials Of Stochastic Processes written by Richard Durrett and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-07 with Mathematics categories.

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.

Basic Stochastic Processes

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Author : Zdzislaw Brzezniak
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Basic Stochastic Processes written by Zdzislaw Brzezniak and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

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.

An Introduction To Stochastic Modeling

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Author : Howard M. Taylor
language : en
Publisher: Academic Press
Release Date : 2014-05-10

An Introduction To Stochastic Modeling written by Howard M. Taylor and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Mathematics categories.

An Introduction to Stochastic Modeling, Revised Edition provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Stationary Stochastic Processes

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Author : Georg Lindgren
language : en
Publisher: CRC Press
Release Date : 2012-10-01

Stationary Stochastic Processes written by Georg Lindgren and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-01 with Mathematics categories.

Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.

Stochastic Calculus And Applications

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Author : Samuel N. Cohen
language : en
Publisher: Birkhäuser
Release Date : 2015-11-18

Stochastic Calculus And Applications written by Samuel N. Cohen and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-18 with Mathematics categories.

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)