Introduction To Stochastic Processes

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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 : 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 in Physics

Author : Don S. Lemons
Publisher : Johns Hopkins University Press+ORM
ISBN 13 : 0801876389
Total Pages : 165 pages
Book Rating : 4.8/5 (18 download)

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Book Synopsis An Introduction to Stochastic Processes in Physics by : Don S. Lemons

Download or read book An Introduction to Stochastic Processes in Physics written by Don S. Lemons and published by Johns Hopkins University Press+ORM. This book was released on 2003-04-29 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: This “lucid, masterfully written introduction to an often difficult subject . . . belongs on the bookshelf of every student of statistical physics” (Dr. Brian J. Albright, Applied Physics Division, Los Alamos National Laboratory). This book provides an accessible introduction to stochastic processes in physics and describes the basic mathematical tools of the trade: probability, random walks, and Wiener and Ornstein-Uhlenbeck processes. With an emphasis on applications, it includes end-of-chapter problems. Physicist and author Don S. Lemons builds on Paul Langevin’s seminal 1908 paper “On the Theory of Brownian Motion” and its explanations of classical uncertainty in natural phenomena. Following Langevin’s example, Lemons applies Newton’s second law to a “Brownian particle on which the total force included a random component.” This method builds on Newtonian dynamics and provides an accessible explanation to anyone approaching the subject for the first time. This volume contains the complete text of Paul Langevin’s “On the Theory of Brownian Motion,” translated by Anthony Gythiel.

Stochastic Processes

Author : Peter Watts Jones
Publisher : CRC Press
ISBN 13 : 1498778127
Total Pages : 255 pages
Book Rating : 4.4/5 (987 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 2017-10-30 with total page 255 pages. 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

Author : Mu-fa Chen
Publisher : World Scientific
ISBN 13 : 9814740322
Total Pages : 245 pages
Book Rating : 4.8/5 (147 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 World Scientific. This book was released on 2021-05-25 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this book is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts — Markov chains and stochastic analysis. The readers are led directly to the core of the main topics to be treated in the context. Further details and additional materials are left to a section containing abundant exercises for further reading and studying.In the part on Markov chains, the focus is on the ergodicity. By using the minimal nonnegative solution method, we deal with the recurrence and various types of ergodicity. This is done step by step, from finite state spaces to denumerable state spaces, and from discrete time to continuous time. The methods of proofs adopt 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 book also features modern probability theory that is used in different fields, such as MCMC, or even deterministic areas: 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.

An Introduction to Stochastic Processes and Their Applications

Author : Petar Todorovic
Publisher : Springer Science & Business Media
ISBN 13 : 1461397421
Total Pages : 302 pages
Book Rating : 4.4/5 (613 download)

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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 and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 302 pages. 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

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.

An Introduction to Stochastic Processes and Their Applications

Author : Chin Long Chiang
Publisher : Krieger Publishing Company
ISBN 13 :
Total Pages : 552 pages
Book Rating : 4.3/5 (91 download)

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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 and published by Krieger Publishing Company. This book was released on 1980 with total page 552 pages. 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.

Stochastic Processes with R

Author : Olga Korosteleva
Publisher : CRC Press
ISBN 13 : 1000537374
Total Pages : 180 pages
Book Rating : 4.0/5 (5 download)

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Book Synopsis Stochastic Processes with R by : Olga Korosteleva

Download or read book Stochastic Processes with R written by Olga Korosteleva and published by CRC Press. This book was released on 2022-02-14 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Processes with R: An Introduction cuts through the heavy theory that is present in most courses on random processes and serves as practical guide to simulated trajectories and real-life applications for stochastic processes. The light yet detailed text provides a solid foundation that is an ideal companion for undergraduate statistics students looking to familiarize themselves with stochastic processes before going on to more advanced courses. Key Features Provides complete R codes for all simulations and calculations Substantial scientific or popular applications of each process with occasional statistical analysis Helpful definitions and examples are provided for each process End of chapter exercises cover theoretical applications and practice calculations

Basics of Applied Stochastic Processes

Author : Richard Serfozo
Publisher : Springer Science & Business Media
ISBN 13 : 3540893326
Total Pages : 452 pages
Book Rating : 4.5/5 (48 download)

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Book Synopsis Basics of Applied Stochastic Processes by : Richard Serfozo

Download or read book Basics of Applied Stochastic Processes written by Richard Serfozo and published by Springer Science & Business Media. This book was released on 2009-01-24 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.

An Introduction to Stochastic Modeling

Author : Howard M. Taylor
Publisher : Academic Press
ISBN 13 : 1483269272
Total Pages : 410 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis An Introduction to Stochastic Modeling by : Howard M. Taylor

Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

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 Probability and Stochastic Processes with Applications

Author : Liliana Blanco Castañeda
Publisher : John Wiley & Sons
ISBN 13 : 1118344960
Total Pages : 741 pages
Book Rating : 4.1/5 (183 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 2014-08-21 with total page 741 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 : Courier Dover Publications
ISBN 13 : 0486837920
Total Pages : 451 pages
Book Rating : 4.4/5 (868 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 Courier Dover Publications. This book was released on 2019-12-18 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: This incorporation of computer use into teaching and learning stochastic processes takes an applications- and computer-oriented approach rather than a mathematically rigorous approach. Solutions Manual available to instructors upon request. 1997 edition.

Introduction to Stochastic Calculus with Applications

Author : Fima C. Klebaner
Publisher : Imperial College Press
ISBN 13 : 1860945554
Total Pages : 431 pages
Book Rating : 4.8/5 (69 download)

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Book Synopsis Introduction to Stochastic Calculus with Applications by : Fima C. Klebaner

Download or read book Introduction to Stochastic Calculus with Applications written by Fima C. Klebaner and published by Imperial College Press. This book was released on 2005 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Stochastic Processes and Applications

Author : Grigorios A. Pavliotis
Publisher : Springer
ISBN 13 : 1493913239
Total Pages : 339 pages
Book Rating : 4.4/5 (939 download)

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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 and published by Springer. This book was released on 2014-11-19 with total page 339 pages. 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.