Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series) - Tapa dura

Lawler, Gregory F.

 
9780412995118: Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series)
Tapa dura
ISBN 10: 0412995115 ISBN 13: 9780412995118
Editorial: Chapman and Hall/CRC, 1995

Sinopsis

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.

    • "Sinopsis" puede pertenecer a otra edición de este libro.

    Críticas

    "Well-chosen examples and interesting exercises make this text a good choice for a first course in stochastic processes for a broad class of students." - Journal of the American Statistical Association

    Reseña del editor

    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.

    • "Sobre este título" puede pertenecer a otra edición de este libro.

    Editorial
    Chapman and Hall/CRC
    Año de publicación
    1995
    Idioma
    Inglés
    ISBN 10 
    0412995115
    ISBN 13 
    9780412995118
    Encuadernación
    Tapa dura
    Número de edición
    1
    Número de páginas
    192
    Contacto del fabricante
    no disponible
    Persona responsable
    no disponible