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Stochastic Processes with Applications (Paperback, Siam Classics)
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Stochastic Processes with Applications (Paperback, Siam Classics)
Series: Classics in Applied Mathematics
Expected to ship within 12 - 17 working days
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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. It
features very broad coverage of the most applicable aspects of
stochastic processes, including sufficient material for
self-contained courses on random walk 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.
Most results are presented with complete proofs, while 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. Chapter Applications, as well as numerous
extensively worked examples, illustrate important applications of
the subject to various fields of science, engineering, economics,
and applied mathematics. The essentials of measure theoretic
probability are included in an appendix to complete some of the
more technical aspects of the text.
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