Discrete Stochastic Processes
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Discrete Stochastic Processes
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Author : Robert G. Gallager
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Discrete Stochastic Processes written by Robert G. Gallager 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 Technology & Engineering categories.
Stochastic processes are found in probabilistic systems that evolve with time. Discrete stochastic processes change by only integer time steps (for some time scale), or are characterized by discrete occurrences at arbitrary times. Discrete Stochastic Processes helps the reader develop the understanding and intuition necessary to apply stochastic process theory in engineering, science and operations research. The book approaches the subject via many simple examples which build insight into the structure of stochastic processes and the general effect of these phenomena in real systems. The book presents mathematical ideas without recourse to measure theory, using only minimal mathematical analysis. In the proofs and explanations, clarity is favored over formal rigor, and simplicity over generality. Numerous examples are given to show how results fail to hold when all the conditions are not satisfied. Audience: An excellent textbook for a graduate level course in engineering and operations research. Also an invaluable reference for all those requiring a deeper understanding of the subject.
Stochastic Processes
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Author : Robert G. Gallager
language : en
Publisher: Cambridge University Press
Release Date : 2013-12-12
Stochastic Processes written by Robert G. Gallager and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-12 with Business & Economics categories.
The definitive textbook on stochastic processes, written by one of the world's leading information theorists, covering both theory and applications.
Stochastic Analysis In Discrete And Continuous Settings
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Author : Nicolas Privault
language : en
Publisher: Springer
Release Date : 2009-07-14
Stochastic Analysis In Discrete And Continuous Settings written by Nicolas Privault and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-14 with Mathematics categories.
This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.
Stochastic Processes With R
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Author : Olga Korosteleva
language : en
Publisher: CRC Press
Release Date : 2022-02-14
Stochastic Processes With R written by Olga Korosteleva and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-14 with Mathematics categories.
Stochastic Processes with R: An Introduction cuts through the heavy theory that is present in most courses on random processes and serves as practical guide to simulated trajectories and real-life applications for stochastic processes. The light yet detailed text provides a solid foundation that is an ideal companion for undergraduate statistics students looking to familiarize themselves with stochastic processes before going on to more advanced courses. Key Features Provides complete R codes for all simulations and calculations Substantial scientific or popular applications of each process with occasional statistical analysis Helpful definitions and examples are provided for each process End of chapter exercises cover theoretical applications and practice calculations
Markov Decision Processes
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Author : Martin L. Puterman
language : en
Publisher: John Wiley & Sons
Release Date : 2014-08-28
Markov Decision Processes written by Martin L. Puterman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-28 with Mathematics categories.
The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "This text is unique in bringing together so many results hitherto found only in part in other texts and papers. . . . The text is fairly self-contained, inclusive of some basic mathematical results needed, and provides a rich diet of examples, applications, and exercises. The bibliographical material at the end of each chapter is excellent, not only from a historical perspective, but because it is valuable for researchers in acquiring a good perspective of the MDP research potential." —Zentralblatt fur Mathematik ". . . it is of great value to advanced-level students, researchers, and professional practitioners of this field to have now a complete volume (with more than 600 pages) devoted to this topic. . . . Markov Decision Processes: Discrete Stochastic Dynamic Programming represents an up-to-date, unified, and rigorous treatment of theoretical and computational aspects of discrete-time Markov decision processes." —Journal of the American Statistical Association
Discrete Stochastic Processes And Applications
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Author : Jean-François Collet
language : en
Publisher: Springer
Release Date : 2018-04-05
Discrete Stochastic Processes And Applications written by Jean-François Collet and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-05 with Mathematics categories.
This unique text for beginning graduate students gives a self-contained introduction to the mathematical properties of stochastics and presents their applications to Markov processes, coding theory, population dynamics, and search engine design. The book is ideal for a newly designed course in an introduction to probability and information theory. Prerequisites include working knowledge of linear algebra, calculus, and probability theory. The first part of the text focuses on the rigorous theory of Markov processes on countable spaces (Markov chains) and provides the basis to developing solid probabilistic intuition without the need for a course in measure theory. The approach taken is gradual beginning with the case of discrete time and moving on to that of continuous time. The second part of this text is more applied; its core introduces various uses of convexity in probability and presents a nice treatment of entropy.
Discrete Time Stochastic Systems
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Author : Torsten Söderström
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Discrete Time Stochastic Systems written by Torsten Söderström 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 comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
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.
Probability Theory And Stochastic Processes
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Author : Pierre Brémaud
language : en
Publisher: Springer
Release Date : 2020-04-08
Probability Theory And Stochastic Processes written by Pierre Brémaud and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-08 with Mathematics categories.
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.