Stochastic Processes with Applications
£71.00
Part of Classics in Applied Mathematics
- Authors:
- Rabi N. Bhattacharya, University of Arizona
- Edward C. Waymire, Oregon State University
- Date Published: August 2009
- availability: This item is not supplied by Cambridge University Press in your region. Please contact Soc for Industrial & Applied Mathematics for availability.
- format: Paperback
- isbn: 9780898716894
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This book develops systematically and rigorously, yet in an expository and lively manner, the evolution of general random processes and their large time properties such as transience, recurrence, and convergence to steady states. The emphasis is on the most important classes of these processes from the viewpoint of theory as well as applications, namely, Markov processes. The book features very broad coverage of the most applicable aspects of stochastic processes, including sufficient material for self-contained courses on random walks in one and multiple dimensions; Markov chains in discrete and continuous times, including birth-death processes; Brownian motion and diffusions; stochastic optimization; and stochastic differential equations. This book is for graduate students in mathematics, statistics, science and engineering, and it may also be used as a reference by professionals in diverse fields whose work involves the application of probability.
Read more- Numerous extensively worked examples illustrate important applications of the subject
- Some very technical matters are relegated to a Theoretical Complements section at the end of each chapter in order not to impede the flow of the material
- The essentials of measure theoretic probability are included in an appendix to complete some of the more technical aspects of the text
Reviews & endorsements
'This may be the best all-around treatment [of stochastic processes] for use by graduate students with varied backgrounds but with some mathematical ambitions.' William G. Faris, University of Arizona
See more reviews'The book is remarkably comprehensive. The additional notes at the end of the chapters contain a fund of information.' Richard F. Gundy, Rutgers University
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×Product details
- Date Published: August 2009
- format: Paperback
- isbn: 9780898716894
- length: 184 pages
- dimensions: 227 x 151 x 32 mm
- weight: 0.94kg
- availability: This item is not supplied by Cambridge University Press in your region. Please contact Soc for Industrial & Applied Mathematics for availability.
Table of Contents
Preface to the Classics Edition
Preface
Sample course outline
1. Random walk and Brownian motion
2, Discrete-parameter Markov chains
3. Birth–death Markov chains
4. Continuous-parameter Markov chains
5. Brownian motion and diffusions
6. Dynamic programming and stochastic optimization
7. An introduction to stochastic differential equations
8. A probability and measure theory overview
Author index
Subject index
Errata.
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