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Discrete Stochastic Processes And Applications


Discrete Stochastic Processes And Applications
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Stochastic Processes


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 Processes With Applications


Stochastic Processes With Applications
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Author : Rabi N. Bhattacharya
language : en
Publisher: SIAM
Release Date : 2009-08-27

Stochastic Processes With Applications written by Rabi N. Bhattacharya and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-27 with Mathematics categories.


This book develops systematically and rigorously, yet in an expository and lively manner, the evolution of general random processes and their large time properties such as transience, recurrence, and convergence to steady states. The emphasis is on the most important classes of these processes from the viewpoint of theory as well as applications, namely, Markov processes. The book features very broad coverage of the most applicable aspects of stochastic processes, including sufficient material for self-contained courses on random walks in one and multiple dimensions; Markov chains in discrete and continuous times, including birth-death processes; Brownian motion and diffusions; stochastic optimization; and stochastic differential equations. This book is for graduate students in mathematics, statistics, science and engineering, and it may also be used as a reference by professionals in diverse fields whose work involves the application of probability.



Discrete Stochastic Processes


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 With Applications To Finance


Stochastic Processes With Applications To Finance
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Author : Masaaki Kijima
language : en
Publisher: CRC Press
Release Date : 2016-04-19

Stochastic Processes With Applications To Finance written by Masaaki Kijima and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.


Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools



Stochastic Analysis In Discrete And Continuous Settings


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.



Discrete Stochastic Processes And Applications


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.



Introduction To Probability And Stochastic Processes With Applications


Introduction To Probability And Stochastic Processes With Applications
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Author : Liliana Blanco Castañeda
language : en
Publisher: John Wiley & Sons
Release Date : 2014-08-21

Introduction To Probability And Stochastic Processes With Applications written by Liliana Blanco Castañeda 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 2014-08-21 with Mathematics categories.


An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic techniques to accurately model these phenomena. The authors discuss a broad range of topics, from the basic concepts of probability to advanced topics for further study, including Itô integrals, martingales, and sigma algebras. Additional topical coverage includes: Distributions of discrete and continuous random variables frequently used in applications Random vectors, conditional probability, expectation, and multivariate normal distributions The laws of large numbers, limit theorems, and convergence of sequences of random variables Stochastic processes and related applications, particularly in queueing systems Financial mathematics, including pricing methods such as risk-neutral valuation and the Black-Scholes formula Extensive appendices containing a review of the requisite mathematics and tables of standard distributions for use in applications are provided, and plentiful exercises, problems, and solutions are found throughout. Also, a related website features additional exercises with solutions and supplementary material for classroom use. Introduction to Probability and Stochastic Processes with Applications is an ideal book for probability courses at the upper-undergraduate level. The book is also a valuable reference for researchers and practitioners in the fields of engineering, operations research, and computer science who conduct data analysis to make decisions in their everyday work.



Stochastic Processes And Applications


Stochastic Processes And Applications
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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19

Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.


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.



Stochastic Processes And Their Applications


Stochastic Processes And Their Applications
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Author : Frank Beichelt
language : en
Publisher: CRC Press
Release Date : 2001-10-18

Stochastic Processes And Their Applications written by Frank Beichelt and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-10-18 with Mathematics categories.


This book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.



Stochastic Processes With R


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