Stochastic Processes With Applications - Couverture rigide

Bhattacharya, Rabindranath; Waymire, Edward C.

Couverture rigide

ISBN 10 : 0471842729 ISBN 13 : 9780471842729

Editeur : John Wiley & Sons Inc, 1990

Synopsis

This graduate work on stochastic processes provides a self- contained and systematic treatment of major topics such as random walk, Brownian motion, martingales, Markov chains indiscrete and continuous, stochastic optimization and stochastic differential equations. Beginning at a very simple technical level, the book gradually builds intuition and familiarity with techniques. For greater flexibility in instruction, some technical details are relegated to the end of each chapter under the label "theoretical complements". In this way the main body of the work becomes accessible to a wide range of readers, while the "theoretical complements" sections make the book mathematically complete for the more advanced reader.

A propos du livre

Présentation de l'éditeur

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.

Revue de presse

'This may be the best all-around treatment [of stochastic processes] for use by graduate students with varied backgrounds but with some mathematical ambitions.' William G. Faris, University of Arizona

'The book is remarkably comprehensive. The additional notes at the end of the chapters contain a fund of information.' Richard F. Gundy, Rutgers University

Détails de l'édition

• Éditeur: John Wiley & Sons Inc
• Date d'édition: 1990
• Langue: anglais
• ISBN 10: 0471842729
• ISBN 13: 9780471842729
• Reliure: Relié
• Nombre de pages: 688
• Coordonnées du fabricant: non disponible