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

Lawler, Gregory F.

 
9780412995118: Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series)
Hardcover
ISBN 10: 0412995115 ISBN 13: 9780412995118
Verlag: Chapman & Hall/CRC, 1995

Inhaltsangabe

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.

    • Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

    Verlag
    Chapman & Hall/CRC
    Erscheinungsdatum
    1995
    Sprache
    Englisch
    ISBN 10 
    0412995115
    ISBN 13 
    9780412995118
    Einband
    Gebundene Ausgabe
    Anzahl der Seiten
    192
    Kontakt zum Hersteller
    Nicht verfügbar
    Verantwortliche Person
    Buchpark GmbH
    gpsr@buchpark.de

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