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Introduction to Stochastic Processes

2013-02-20 Mathematics
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Release : 2013-02-20
Genre : Mathematics
Kind : eBook
Book Rating : 325/5 ( reviews)

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Book Synopsis Introduction to Stochastic Processes by : Erhan Cinlar

Download or read book Introduction to Stochastic Processes written by Erhan Cinlar. This book was released on 2013-02-20. Available in PDF, EPUB and Kindle. Book excerpt: Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.

Introduction to Stochastic Processes

2018-10-03 Mathematics
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Release : 2018-10-03
Genre : Mathematics
Kind : eBook
Book Rating : 114/5 ( reviews)

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Book Synopsis Introduction to Stochastic Processes by : Gregory F. Lawler

Download or read book Introduction to Stochastic Processes written by Gregory F. Lawler. This book was released on 2018-10-03. Available in PDF, EPUB and Kindle. Book excerpt: Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory. For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter. New to the Second Edition: Expanded chapter on stochastic integration that introduces modern mathematical finance Introduction of Girsanov transformation and the Feynman-Kac formula Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.

Introduction to Stochastic Processes with R

2016-03-07 Mathematics
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Release : 2016-03-07
Genre : Mathematics
Kind : eBook
Book Rating : 653/5 ( reviews)

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Book Synopsis Introduction to Stochastic Processes with R by : Robert P. Dobrow

Download or read book Introduction to Stochastic Processes with R written by Robert P. Dobrow. This book was released on 2016-03-07. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to stochastic processes through the use of R Introduction to Stochastic Processes with R is an accessible and well-balanced presentation of the theory of stochastic processes, with an emphasis on real-world applications of probability theory in the natural and social sciences. The use of simulation, by means of the popular statistical software R, makes theoretical results come alive with practical, hands-on demonstrations. Written by a highly-qualified expert in the field, the author presents numerous examples from a wide array of disciplines, which are used to illustrate concepts and highlight computational and theoretical results. Developing readers’ problem-solving skills and mathematical maturity, Introduction to Stochastic Processes with R features: More than 200 examples and 600 end-of-chapter exercises A tutorial for getting started with R, and appendices that contain review material in probability and matrix algebra Discussions of many timely and stimulating topics including Markov chain Monte Carlo, random walk on graphs, card shuffling, Black–Scholes options pricing, applications in biology and genetics, cryptography, martingales, and stochastic calculus Introductions to mathematics as needed in order to suit readers at many mathematical levels A companion web site that includes relevant data files as well as all R code and scripts used throughout the book Introduction to Stochastic Processes with R is an ideal textbook for an introductory course in stochastic processes. The book is aimed at undergraduate and beginning graduate-level students in the science, technology, engineering, and mathematics disciplines. The book is also an excellent reference for applied mathematicians and statisticians who are interested in a review of the topic.

Stochastic Processes

2017-10-30 Mathematics
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Release : 2017-10-30
Genre : Mathematics
Kind : eBook
Book Rating : 127/5 ( reviews)

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Book Synopsis Stochastic Processes by : Peter Watts Jones

Download or read book Stochastic Processes written by Peter Watts Jones. This book was released on 2017-10-30. Available in PDF, EPUB and Kindle. Book excerpt: Based on a well-established and popular course taught by the authors over many years, Stochastic Processes: An Introduction, Third Edition, discusses the modelling and analysis of random experiments, where processes evolve over time. The text begins with a review of relevant fundamental probability. It then covers gambling problems, random walks, and Markov chains. The authors go on to discuss random processes continuous in time, including Poisson, birth and death processes, and general population models, and present an extended discussion on the analysis of associated stationary processes in queues. The book also explores reliability and other random processes, such as branching, martingales, and simple epidemics. A new chapter describing Brownian motion, where the outcomes are continuously observed over continuous time, is included. Further applications, worked examples and problems, and biographical details have been added to this edition. Much of the text has been reworked. The appendix contains key results in probability for reference. This concise, updated book makes the material accessible, highlighting simple applications and examples. A solutions manual with fully worked answers of all end-of-chapter problems, and Mathematica® and R programs illustrating many processes discussed in the book, can be downloaded from crcpress.com.

Introduction to Stochastic Processes

1986-12-01 Mathematics
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Release : 1986-12-01
Genre : Mathematics
Kind : eBook
Book Rating : 994/5 ( reviews)

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Book Synopsis Introduction to Stochastic Processes by : Paul G. Hoel

Download or read book Introduction to Stochastic Processes written by Paul G. Hoel. This book was released on 1986-12-01. Available in PDF, EPUB and Kindle. Book excerpt: An excellent introduction for computer scientists and electrical and electronics engineers who would like to have a good, basic understanding of stochastic processes! This clearly written book responds to the increasing interest in the study of systems that vary in time in a random manner. It presents an introductory account of some of the important topics in the theory of the mathematical models of such systems. The selected topics are conceptually interesting and have fruitful application in various branches of science and technology.

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