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| Author | : Frank Beichelt |
| Publisher | : CRC Press |
| Total Pages | : 342 |
| Release | : 2001-10-18 |
| Genre | : Mathematics |
| ISBN | : 9780415272322 |
Download Stochastic Processes and Their Applications Book in PDF, ePub and Kindle
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.
| Author | : Petar Todorovic |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 302 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461397421 |
Download An Introduction to Stochastic Processes and Their Applications Book in PDF, ePub and Kindle
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.
| Author | : Chin Long Chiang |
| Publisher | : Krieger Publishing Company |
| Total Pages | : 552 |
| Release | : 1980 |
| Genre | : Biomathematics |
| ISBN | : |
Download An Introduction to Stochastic Processes and Their Applications Book in PDF, ePub and Kindle
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.
| Author | : Grigorios A. Pavliotis |
| Publisher | : Springer |
| Total Pages | : 345 |
| Release | : 2014-11-19 |
| Genre | : Mathematics |
| ISBN | : 1493913239 |
Download Stochastic Processes and Applications Book in PDF, ePub and Kindle
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.
| Author | : Richard Serfozo |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 452 |
| Release | : 2009-01-24 |
| Genre | : Mathematics |
| ISBN | : 3540893326 |
Download Basics of Applied Stochastic Processes Book in PDF, ePub and Kindle
Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.
| Author | : Sergio Albeverio |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 424 |
| Release | : 1990-09-30 |
| Genre | : Mathematics |
| ISBN | : 9780792308942 |
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'Et moi, ... , si j'avait su comment en revenIT, One service mathematics has rendered the je n'y serais point allt\.' human race. It has put common sense back where it belongs, on the topmost shelf next Jules Verne to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. :; 'One service logic has rendered com puter science .. :; 'One service category theory has rendered mathematics .. :. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series.
| Author | : Pierre Del Moral |
| Publisher | : CRC Press |
| Total Pages | : 866 |
| Release | : 2017-02-24 |
| Genre | : Mathematics |
| ISBN | : 1498701841 |
Download Stochastic Processes Book in PDF, ePub and Kindle
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
| Author | : Zeev Schuss |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 486 |
| Release | : 2009-12-09 |
| Genre | : Mathematics |
| ISBN | : 1441916059 |
Download Theory and Applications of Stochastic Processes Book in PDF, ePub and Kindle
Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.
| Author | : Rabi N. Bhattacharya |
| Publisher | : SIAM |
| Total Pages | : 726 |
| Release | : 2009-08-27 |
| Genre | : Mathematics |
| ISBN | : 0898716896 |
Download Stochastic Processes with Applications Book in PDF, ePub and Kindle
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.
| Author | : Robert G. Gallager |
| Publisher | : Cambridge University Press |
| Total Pages | : 559 |
| Release | : 2013-12-12 |
| Genre | : Business & Economics |
| ISBN | : 1107039754 |
Download Stochastic Processes Book in PDF, ePub and Kindle
The definitive textbook on stochastic processes, written by one of the world's leading information theorists, covering both theory and applications.
