Introduction to Stochastic Processes - Couverture rigide

Lawler, Gregory F.

 
9780412995118: Introduction to Stochastic Processes
Couverture rigide
ISBN 10 : 0412995115 ISBN 13 : 9780412995118
Editeur : Chapman & Hall/CRC, 1995

Synopsis

This concise, informal introduction to stochastic processes evolving with time was designed to meet the needs of graduate students not only in mathematics and statistics, but in the many fields in which the concepts presented are important, including computer science, economics, business, biological science, psychology, and engineering.

With emphasis on fundamental mathematical ideas rather than proofs or detailed applications, the treatment introduces the following topics:

  • Markov chains, with focus on the relationship between the convergence to equilibrium and the size of the eigenvalues of the stochastic matrix
  • Infinite state space, including the ideas of transience, null recurrence and positive recurrence
  • The three main types of continual time Markov chains and optimal stopping of Markov chains
  • Martingales, including conditional expectation, the optional sampling theorem, and the martingale convergence theorem
  • Renewal process and reversible Markov chains
  • Brownian motion, both multidimensional and one-dimensional

    Introduction to Stochastic Processes is ideal for a first course in stochastic processes without measure theory, requiring only a calculus-based undergraduate probability course and a course in linear algebra.

    • Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

    Présentation de l'éditeur

    This concise, informal introduction to stochastic processes evolving with time was designed to meet the needs of graduate students not only in mathematics and statistics, but in the many fields in which the concepts presented are important, including computer science, economics, business, biological science, psychology, and engineering.

    With emphasis on fundamental mathematical ideas rather than proofs or detailed applications, the treatment introduces the following topics:

  • Markov chains, with focus on the relationship between the convergence to equilibrium and the size of the eigenvalues of the stochastic matrix
  • Infinite state space, including the ideas of transience, null recurrence and positive recurrence
  • The three main types of continual time Markov chains and optimal stopping of Markov chains
  • Martingales, including conditional expectation, the optional sampling theorem, and the martingale convergence theorem
  • Renewal process and reversible Markov chains
  • Brownian motion, both multidimensional and one-dimensional

    Introduction to Stochastic Processes is ideal for a first course in stochastic processes without measure theory, requiring only a calculus-based undergraduate probability course and a course in linear algebra.

    • Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

    Éditeur
    Chapman & Hall/CRC
    Date d'édition
    1995
    Langue
    anglais
    ISBN 10 
    0412995115
    ISBN 13 
    9780412995118
    Reliure
    Relié
    Nombre de pages
    192
    Coordonnées du fabricant
    non disponible
    Personne responsable
    non disponible