Informal Introduction To Stochastic Processes With Maple

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Informal Introduction to Stochastic Processes with Maple

Author : Jan Vrbik
Publisher : Springer Science & Business Media
ISBN 13 : 1461440572
Total Pages : 289 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Informal Introduction to Stochastic Processes with Maple by : Jan Vrbik

Download or read book Informal Introduction to Stochastic Processes with Maple written by Jan Vrbik and published by Springer Science & Business Media. This book was released on 2012-12-02 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents an introduction to Stochastic Processes including Markov Chains, Birth and Death processes, Brownian motion and Autoregressive models. The emphasis is on simplifying both the underlying mathematics and the conceptual understanding of random processes. In particular, non-trivial computations are delegated to a computer-algebra system, specifically Maple (although other systems can be easily substituted). Moreover, great care is taken to properly introduce the required mathematical tools (such as difference equations and generating functions) so that even students with only a basic mathematical background will find the book self-contained. Many detailed examples are given throughout the text to facilitate and reinforce learning. Jan Vrbik has been a Professor of Mathematics and Statistics at Brock University in St Catharines, Ontario, Canada, since 1982. Paul Vrbik is currently a PhD candidate in Computer Science at the University of Western Ontario in London, Ontario, Canada. .

Introduction to Stochastic Processes

Author : Gregory F. Lawler
Publisher : CRC Press
ISBN 13 : 1482286114
Total Pages : 249 pages
Book Rating : 4.4/5 (822 download)

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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 and published by CRC Press. This book was released on 2018-10-03 with total page 249 pages. 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

Author : Robert P. Dobrow
Publisher : John Wiley & Sons
ISBN 13 : 1118740653
Total Pages : 503 pages
Book Rating : 4.1/5 (187 download)

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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 and published by John Wiley & Sons. This book was released on 2016-03-07 with total page 503 pages. 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.

Introduction to Stochastic Processes

Author : Paul G. Hoel
Publisher : Waveland Press
ISBN 13 : 1478608994
Total Pages : 212 pages
Book Rating : 4.4/5 (786 download)

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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 and published by Waveland Press. This book was released on 1986-12-01 with total page 212 pages. 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.

Introduction to Stochastic Processes

Author : Erhan Cinlar
Publisher : Courier Corporation
ISBN 13 : 0486276325
Total Pages : 418 pages
Book Rating : 4.4/5 (862 download)

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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 and published by Courier Corporation. This book was released on 2013-02-20 with total page 418 pages. 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.

An Introduction to Stochastic Processes

Author : D. Kannan
Publisher : North-Holland
ISBN 13 : 9780444003010
Total Pages : 296 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis An Introduction to Stochastic Processes by : D. Kannan

Download or read book An Introduction to Stochastic Processes written by D. Kannan and published by North-Holland. This book was released on 1979-01-01 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Random walk; Markov chains; Poisson processes; Purely discontinuous markov processes; Calculus with stochastic processes; Stationary processes; Martingales; Brownian motion and diffusion stochastic processes.

Introduction To Stochastic Processes

Author : Paul G. Hoel
Publisher :
ISBN 13 : 9788185461694
Total Pages : pages
Book Rating : 4.4/5 (616 download)

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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 and published by . This book was released on 1972 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Introduction to Stochastic Processes

Author : M. S. Bartlett
Publisher : CUP Archive
ISBN 13 : 9780521215855
Total Pages : 412 pages
Book Rating : 4.2/5 (158 download)

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Book Synopsis An Introduction to Stochastic Processes by : M. S. Bartlett

Download or read book An Introduction to Stochastic Processes written by M. S. Bartlett and published by CUP Archive. This book was released on 1978 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Random sequences; Processes in continuous time; Miscellaneous statistical applications; Limiting stochastic operations; Stationary processes; Prediction and communication theory; The statistical analysis of stochastic processes; Correlation analysis of time-series.

Introduction to the Theory of Stochastic Processes Depending on a Continuous Parameter

Author : Henry Berthold Mann
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Introduction to the Theory of Stochastic Processes Depending on a Continuous Parameter by : Henry Berthold Mann

Download or read book Introduction to the Theory of Stochastic Processes Depending on a Continuous Parameter written by Henry Berthold Mann and published by . This book was released on 1953 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Processes

Author : S. R. S. Varadhan
Publisher : American Mathematical Soc.
ISBN 13 : 0821840851
Total Pages : 138 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Stochastic Processes by : S. R. S. Varadhan

Download or read book Stochastic Processes written by S. R. S. Varadhan and published by American Mathematical Soc.. This book was released on 2007 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. The text describes the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps.

Stochastic Processes

Author : Peter Watts Jones
Publisher : CRC Press
ISBN 13 : 1420099809
Total Pages : 233 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Stochastic Processes by : Peter Watts Jones

Download or read book Stochastic Processes written by Peter Watts Jones and published by CRC Press. This book was released on 2009-10-09 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on a highly popular, well-established course taught by the authors, Stochastic Processes: An Introduction, Second Edition discusses the modeling and analysis of random experiments using the theory of probability. It focuses on the way in which the results or outcomes of experiments vary and evolve over time. The text begins with a review of relevant fundamental probability. It then covers several basic gambling problems, random walks, and Markov chains. The authors go on to develop random processes continuous in time, including Poisson, birth and death processes, and general population models. While focusing on queues, they present an extended discussion on the analysis of associated stationary processes. The book also explores reliability and other random processes, such as branching processes, martingales, and a simple epidemic. The appendix contains key mathematical results for reference. Ideal for a one-semester course on stochastic processes, this concise, updated textbook makes the material accessible to students by avoiding specialized applications and instead highlighting simple applications and examples. The associated website contains Mathematica® and R programs that offer flexibility in creating graphs and performing computations.

Introduction to Probability and Stochastic Processes with Applications

Author : Liliana Blanco Castañeda
Publisher : John Wiley & Sons
ISBN 13 : 1118294408
Total Pages : 613 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Introduction to Probability and Stochastic Processes with Applications by : Liliana Blanco Castañeda

Download or read book Introduction to Probability and Stochastic Processes with Applications written by Liliana Blanco Castañeda and published by John Wiley & Sons. This book was released on 2012-06-26 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic techniques to accurately model these phenomena. The authors discuss a broad range of topics, from the basic concepts of probability to advanced topics for further study, including Itô integrals, martingales, and sigma algebras. Additional topical coverage includes: Distributions of discrete and continuous random variables frequently used in applications Random vectors, conditional probability, expectation, and multivariate normal distributions The laws of large numbers, limit theorems, and convergence of sequences of random variables Stochastic processes and related applications, particularly in queueing systems Financial mathematics, including pricing methods such as risk-neutral valuation and the Black-Scholes formula Extensive appendices containing a review of the requisite mathematics and tables of standard distributions for use in applications are provided, and plentiful exercises, problems, and solutions are found throughout. Also, a related website features additional exercises with solutions and supplementary material for classroom use. Introduction to Probability and Stochastic Processes with Applications is an ideal book for probability courses at the upper-undergraduate level. The book is also a valuable reference for researchers and practitioners in the fields of engineering, operations research, and computer science who conduct data analysis to make decisions in their everyday work.

An Introduction to Stochastic Processes

Author : Edward P. C. Kao
Publisher : Duxbury Resource Center
ISBN 13 :
Total Pages : 458 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis An Introduction to Stochastic Processes by : Edward P. C. Kao

Download or read book An Introduction to Stochastic Processes written by Edward P. C. Kao and published by Duxbury Resource Center. This book was released on 1997 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intended for a calculus-based course in stochastic processes at the graduate or advanced undergraduate level, this text offers a modern, applied perspective. Instead of the standard formal and mathematically rigorous approach usual for texts for this course, Edward Kao emphasizes the development of operational skills and analysis through a variety of well-chosen examples.

An Introduction to Vector Stochastic Processes

Author : Kenneth S. Miller
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis An Introduction to Vector Stochastic Processes by : Kenneth S. Miller

Download or read book An Introduction to Vector Stochastic Processes written by Kenneth S. Miller and published by . This book was released on 1980 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Topics in Stochastic Processes

Author : Robert B. Ash
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Topics in Stochastic Processes by : Robert B. Ash

Download or read book Topics in Stochastic Processes written by Robert B. Ash and published by . This book was released on 1975 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Processes, Introduction, Covariance functions, Second order calculus, Karhunen-loeve expansion, Estimation problems, Notes; Spectral theory and prediction, Introduction, L Stochastic integrals, Decomposition of stationary processes, Examples of discrete parameter processes, Discrete parameter prediction: Special cases, Discrete parameter prediction: General solution, Examples of continuous parameter processes; Continuos parameter prediction special cases; yaglom's method, Some stochastic differential equations, Continuos parameter prediction: remarks on the general solution, Notes; Ergodic theory, Ergodicity and mixing, The pointwise ergodic theorem, Applications to real analysis, Applications to Markov chains, The Shannon-mcMillan theorem, Notes; Sample function analysis of continuous parameter stochastic processes, Separability, Measurability, One-Dimensional brownian motion, Law of the iterated logarithm, Markov processes, Processes with independent increments, Continuous parameter martingales, The strong Markov property, Notes; The ito integral and stochastic differential equations, Definitions of the ito integral, Existence and uniqueness theorems for stochastic differential equations, Stochastic differentials: A chain rule, Notes.

Introduction to Stochastic Processes

Author : Mu-Fa Chen
Publisher : Wspc/Hep
ISBN 13 : 9789814740302
Total Pages : 280 pages
Book Rating : 4.7/5 (43 download)

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Book Synopsis Introduction to Stochastic Processes by : Mu-Fa Chen

Download or read book Introduction to Stochastic Processes written by Mu-Fa Chen and published by Wspc/Hep. This book was released on 2021 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective here is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts in stochastic processes -- Markov chains and stochastic analysis. The readers are lead directly to the core of the topics, and further details are collated in a section containing abundant exercises and more materials for further reading and studying.In the part on Markov chains, the core is the ergodicity. By using the minimal non-negative solution method, we deal with the recurrence and various ergodicity. This is done step by step, from finite state spaces to denumerable state spaces, and from discrete time to continuous time. The proof methods adopt the modern techniques, such as coupling and duality methods. Some very new results are included, such as the estimate of the spectral gap. The structure and proofs in the first part are rather different from other existing textbooks on Markov chains.In the part on stochastic analysis, we cover the martingale theory and Brownian motions, the stochastic integral and stochastic differential equations with emphasis on one dimension, and the multidimensional stochastic integral and stochastic equation based on semimartingales. We introduce three important topics here: the Feynman-Kac formula, random time transform and Girsanov transform. As an essential application of the probability theory in classical mathematics, we also deal with the famous Brunn-Minkowski inequality in convex geometry.This volume also features modern probability theory that is used in the non-random fields, such as MCMC, convex geometry and number theory. It provides a new and direct routine for students going through the classical Markov chains to the modern stochastic analysis. It employs more modern techniques, such as coupling and duality, and functional inequalities with Dirichlet form.

Introduction to Stochastic Processes

Author : Tapas Kumar Chandra
Publisher :
ISBN 13 : 9788184872217
Total Pages : 600 pages
Book Rating : 4.8/5 (722 download)

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Book Synopsis Introduction to Stochastic Processes by : Tapas Kumar Chandra

Download or read book Introduction to Stochastic Processes written by Tapas Kumar Chandra and published by . This book was released on 2018-04-30 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Describes the main features of major stochastic processes, giving definition of basic concepts and presenting key results with rigorous proofs. The theory is developed from basic foundation with a view to build a sound understanding of the subject. An introduction to ergodic theory is presented in the second part of the book.