Applied Stochastic Modelling PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Applied Stochastic Modelling PDF full book. Access full book title Applied Stochastic Modelling.
Author | : Shunji Osaki |
Publisher | : Springer Science & Business Media |
Total Pages | : 278 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642846815 |
Download Applied Stochastic System Modeling Book in PDF, ePub and Kindle
This book was written for an introductory one-semester or two-quarter course in stochastic processes and their applications. The reader is assumed to have a basic knowledge of analysis and linear algebra at an undergraduate level. Stochastic models are applied in many fields such as engineering systems, physics, biology, operations research, business, economics, psychology, and linguistics. Stochastic modeling is one of the promising kinds of modeling in applied probability theory. This book is intended to introduce basic stochastic processes: Poisson pro cesses, renewal processes, discrete-time Markov chains, continuous-time Markov chains, and Markov-renewal processes. These basic processes are introduced from the viewpoint of elementary mathematics without going into rigorous treatments. This book also introduces applied stochastic system modeling such as reliability and queueing modeling. Chapters 1 and 2 deal with probability theory, which is basic and prerequisite to the following chapters. Many important concepts of probabilities, random variables, and probability distributions are introduced. Chapter 3 develops the Poisson process, which is one of the basic and im portant stochastic processes. Chapter 4 presents the renewal process. Renewal theoretic arguments are then used to analyze applied stochastic models. Chapter 5 develops discrete-time Markov chains. Following Chapter 5, Chapter 6 deals with continuous-time Markov chains. Continuous-time Markov chains have im portant applications to queueing models as seen in Chapter 9. A one-semester course or two-quarter course consists of a brief review of Chapters 1 and 2, fol lowed in order by Chapters 3 through 6.
Author | : Byron J.T. Morgan |
Publisher | : CRC Press |
Total Pages | : 363 |
Release | : 2008-12-02 |
Genre | : Mathematics |
ISBN | : 1420011650 |
Download Applied Stochastic Modelling Book in PDF, ePub and Kindle
Highlighting modern computational methods, Applied Stochastic Modelling, Second Edition provides students with the practical experience of scientific computing in applied statistics through a range of interesting real-world applications. It also successfully revises standard probability and statistical theory. Along with an updated bibliography and
Author | : Howard M. Taylor |
Publisher | : Academic Press |
Total Pages | : 410 |
Release | : 2014-05-10 |
Genre | : Mathematics |
ISBN | : 1483269272 |
Download An Introduction to Stochastic Modeling Book in PDF, ePub and Kindle
An Introduction to Stochastic Modeling 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.
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 | : Nicolas Lanchier |
Publisher | : Springer |
Total Pages | : 305 |
Release | : 2017-01-27 |
Genre | : Mathematics |
ISBN | : 3319500384 |
Download Stochastic Modeling Book in PDF, ePub and Kindle
Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory to more exotic research-oriented problems based on numerical simulations. Intended for graduate students in mathematics and applied sciences, the text provides the tools and training needed to write and use programs for research purposes. The first part of the text begins with a brief review of measure theory and revisits the main concepts of probability theory, from random variables to the standard limit theorems. The second part covers traditional material on stochastic processes, including martingales, discrete-time Markov chains, Poisson processes, and continuous-time Markov chains. The theory developed is illustrated by a variety of examples surrounding applications such as the gambler’s ruin chain, branching processes, symmetric random walks, and queueing systems. The third, more research-oriented part of the text, discusses special stochastic processes of interest in physics, biology, and sociology. Additional emphasis is placed on minimal models that have been used historically to develop new mathematical techniques in the field of stochastic processes: the logistic growth process, the Wright –Fisher model, Kingman’s coalescent, percolation models, the contact process, and the voter model. Further treatment of the material explains how these special processes are connected to each other from a modeling perspective as well as their simulation capabilities in C and MatlabTM.
Author | : Radek Erban |
Publisher | : Cambridge University Press |
Total Pages | : 322 |
Release | : 2020-01-30 |
Genre | : Mathematics |
ISBN | : 1108572995 |
Download Stochastic Modelling of Reaction–Diffusion Processes Book in PDF, ePub and Kindle
This practical introduction to stochastic reaction-diffusion modelling is based on courses taught at the University of Oxford. The authors discuss the essence of mathematical methods which appear (under different names) in a number of interdisciplinary scientific fields bridging mathematics and computations with biology and chemistry. The book can be used both for self-study and as a supporting text for advanced undergraduate or beginning graduate-level courses in applied mathematics. New mathematical approaches are explained using simple examples of biological models, which range in size from simulations of small biomolecules to groups of animals. The book starts with stochastic modelling of chemical reactions, introducing stochastic simulation algorithms and mathematical methods for analysis of stochastic models. Different stochastic spatio-temporal models are then studied, including models of diffusion and stochastic reaction-diffusion modelling. The methods covered include molecular dynamics, Brownian dynamics, velocity jump processes and compartment-based (lattice-based) models.
Author | : Floyd B. Hanson |
Publisher | : SIAM |
Total Pages | : 472 |
Release | : 2007-01-01 |
Genre | : Mathematics |
ISBN | : 9780898718638 |
Download Applied Stochastic Processes and Control for Jump-Diffusions Book in PDF, ePub and Kindle
This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.
Author | : Quan-Lin Li |
Publisher | : Springer Science & Business Media |
Total Pages | : 693 |
Release | : 2011-02-02 |
Genre | : Mathematics |
ISBN | : 364211492X |
Download Constructive Computation in Stochastic Models with Applications Book in PDF, ePub and Kindle
"Constructive Computation in Stochastic Models with Applications: The RG-Factorizations" provides a unified, constructive and algorithmic framework for numerical computation of many practical stochastic systems. It summarizes recent important advances in computational study of stochastic models from several crucial directions, such as stationary computation, transient solution, asymptotic analysis, reward processes, decision processes, sensitivity analysis as well as game theory. Graduate students, researchers and practicing engineers in the field of operations research, management sciences, applied probability, computer networks, manufacturing systems, transportation systems, insurance and finance, risk management and biological sciences will find this book valuable. Dr. Quan-Lin Li is an Associate Professor at the Department of Industrial Engineering of Tsinghua University, China.
Author | : J. Michael Steele |
Publisher | : Springer Science & Business Media |
Total Pages | : 303 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1468493051 |
Download Stochastic Calculus and Financial Applications Book in PDF, ePub and Kindle
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Author | : Philip Protter |
Publisher | : Springer |
Total Pages | : 430 |
Release | : 2013-12-21 |
Genre | : Mathematics |
ISBN | : 3662100614 |
Download Stochastic Integration and Differential Equations Book in PDF, ePub and Kindle
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.