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Stochastic Processes and Applications

2014-11-19 Mathematics
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Release : 2014-11-19
Genre : Mathematics
Kind : eBook
Book Rating : 239/5 ( reviews)

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Book Synopsis Stochastic Processes and Applications by : Grigorios A. Pavliotis

Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis. This book was released on 2014-11-19. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Stochastic Processes and Their Applications

2001-10-18 Mathematics
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Release : 2001-10-18
Genre : Mathematics
Kind : eBook
Book Rating : 322/5 ( reviews)

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Book Synopsis Stochastic Processes and Their Applications by : Frank Beichelt

Download or read book Stochastic Processes and Their Applications written by Frank Beichelt. This book was released on 2001-10-18. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.

An Introduction to Stochastic Processes and Their Applications

2012-12-06 Mathematics
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Release : 2012-12-06
Genre : Mathematics
Kind : eBook
Book Rating : 421/5 ( reviews)

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Book Synopsis An Introduction to Stochastic Processes and Their Applications by : Petar Todorovic

Download or read book An Introduction to Stochastic Processes and Their Applications written by Petar Todorovic. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: This text on stochastic processes and their applications is based on a set of lectures given during the past several years at the University of California, Santa Barbara (UCSB). It is an introductory graduate course designed for classroom purposes. Its objective is to provide graduate students of statistics with an overview of some basic methods and techniques in the theory of stochastic processes. The only prerequisites are some rudiments of measure and integration theory and an intermediate course in probability theory. There are more than 50 examples and applications and 243 problems and complements which appear at the end of each chapter. The book consists of 10 chapters. Basic concepts and definitions are pro vided in Chapter 1. This chapter also contains a number of motivating ex amples and applications illustrating the practical use of the concepts. The last five sections are devoted to topics such as separability, continuity, and measurability of random processes, which are discussed in some detail. The concept of a simple point process on R+ is introduced in Chapter 2. Using the coupling inequality and Le Cam's lemma, it is shown that if its counting function is stochastically continuous and has independent increments, the point process is Poisson. When the counting function is Markovian, the sequence of arrival times is also a Markov process. Some related topics such as independent thinning and marked point processes are also discussed. In the final section, an application of these results to flood modeling is presented.

Stochastic Processes

2017-02-24 Mathematics
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Release : 2017-02-24
Genre : Mathematics
Kind : eBook
Book Rating : 841/5 ( reviews)

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Book Synopsis Stochastic Processes by : Pierre Del Moral

Download or read book Stochastic Processes written by Pierre Del Moral. This book was released on 2017-02-24. Available in PDF, EPUB and Kindle. Book excerpt: Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.

An Introduction to Stochastic Processes and Their Applications

1980 Mathematics
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Release : 1980
Genre : Mathematics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis An Introduction to Stochastic Processes and Their Applications by : Chin Long Chiang

Download or read book An Introduction to Stochastic Processes and Their Applications written by Chin Long Chiang. This book was released on 1980. Available in PDF, EPUB and Kindle. Book excerpt: Random variables. Probability generating functions. Exponential-type distributions and maximum likelihood estimation. Branching process, random walk and ruin problem. Markov chains. Algebraic treatment of finite Markov chains. Renewal processes. Some stochastic models of population growth. A general birth process, an equality and an epidemic model. Birth-death processes and queueing processes. A simple illness-death process - fix-neyman processes. Multiple transition probabilities in the simple illness death process. Multiple transition time in the simple illness death process - an alternating renewal process. The kolmogorov differential equations and finite markov processes. Kolmogorov differential equations and finite markov processes - continuation. A general illness-death process. Migration processes and birth-illness-death processes.

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