Adventures in Stochastic Processes

Adventures in Stochastic Processes
Title Adventures in Stochastic Processes PDF eBook
Author Sidney I. Resnick
Publisher Springer Science & Business Media
Pages 640
Release 2013-12-11
Genre Mathematics
ISBN 1461203872

Download Adventures in Stochastic Processes Book in PDF, Epub and Kindle

Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.

Adventures in Stochastic Processes

Adventures in Stochastic Processes
Title Adventures in Stochastic Processes PDF eBook
Author Sidney I. Resnick
Publisher Springer Science & Business Media
Pages 646
Release 1992-09-03
Genre Mathematics
ISBN 9780817635916

Download Adventures in Stochastic Processes Book in PDF, Epub and Kindle

Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.

Essentials of Stochastic Processes

Essentials of Stochastic Processes
Title Essentials of Stochastic Processes PDF eBook
Author Richard Durrett
Publisher Springer
Pages 282
Release 2016-11-07
Genre Mathematics
ISBN 3319456148

Download Essentials of Stochastic Processes Book in PDF, Epub and Kindle

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Basics of Applied Stochastic Processes

Basics of Applied Stochastic Processes
Title Basics of Applied Stochastic Processes PDF eBook
Author Richard Serfozo
Publisher Springer Science & Business Media
Pages 452
Release 2009-01-24
Genre Mathematics
ISBN 3540893326

Download Basics of Applied Stochastic Processes Book in PDF, Epub and Kindle

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.

Heavy-Tail Phenomena

Heavy-Tail Phenomena
Title Heavy-Tail Phenomena PDF eBook
Author Sidney I. Resnick
Publisher Springer Science & Business Media
Pages 412
Release 2007
Genre Business & Economics
ISBN 0387242724

Download Heavy-Tail Phenomena Book in PDF, Epub and Kindle

This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.

Stochastic Processes

Stochastic Processes
Title Stochastic Processes PDF eBook
Author Richard F. Bass
Publisher Cambridge University Press
Pages 404
Release 2011-10-06
Genre Mathematics
ISBN 9781107008007

Download Stochastic Processes Book in PDF, Epub and Kindle

This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes and semigroup theory. Applications include the Black-Scholes formula for the pricing of derivatives in financial mathematics, the Kalman-Bucy filter used in the US space program and also theoretical applications to partial differential equations and analysis. Short, readable chapters aim for clarity rather than full generality. More than 350 exercises are included to help readers put their new-found knowledge to the test and to prepare them for tackling the research literature.

Stochastic Processes in Physics, Chemistry, and Biology

Stochastic Processes in Physics, Chemistry, and Biology
Title Stochastic Processes in Physics, Chemistry, and Biology PDF eBook
Author Jan A. Freund
Publisher Springer
Pages 512
Release 2008-01-11
Genre Science
ISBN 3540453962

Download Stochastic Processes in Physics, Chemistry, and Biology Book in PDF, Epub and Kindle

The theory of stochastic processes originally grew out of efforts to describe Brownian motion quantitatively. Today it provides a huge arsenal of methods suitable for analyzing the influence of noise on a wide range of systems. The credit for acquiring all the deep insights and powerful methods is due ma- ly to a handful of physicists and mathematicians: Einstein, Smoluchowski, Langevin, Wiener, Stratonovich, etc. Hence it is no surprise that until - cently the bulk of basic and applied stochastic research was devoted to purely mathematical and physical questions. However, in the last decade we have witnessed an enormous growth of results achieved in other sciences - especially chemistry and biology - based on applying methods of stochastic processes. One reason for this stochastics boom may be that the realization that noise plays a constructive rather than the expected deteriorating role has spread to communities beyond physics. Besides their aesthetic appeal these noise-induced, noise-supported or noise-enhanced effects sometimes offer an explanation for so far open pr- lems (information transmission in the nervous system and information p- cessing in the brain, processes at the cell level, enzymatic reactions, etc.). They may also pave the way to novel technological applications (noise-- hanced reaction rates, noise-induced transport and separation on the na- scale, etc.). Key words to be mentioned in this context are stochastic r- onance, Brownian motors or ratchets, and noise-supported phenomena in excitable systems.