Stochastic Processes with Applications

Rabi N Bhattacharya

ISBN 10: 0898716896 / ISBN 13: 9780898716894

Editore: Society For Industrial And Applied Mathematics (SIAM) Aug 2009, 2009

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Neuware - 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.

Codice articolo 9780898716894

Dati bibliografici

• Titolo: Stochastic Processes with Applications
• Editore: Society For Industrial And Applied Mathematics (SIAM) Aug 2009
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 0898716896
• ISBN 13: 9780898716894
• Rilegatura: Taschenbuch
• Condizione: Neu

Descrizione articolo

Riassunto

A very broad coverage of the most applicable aspects of stochastic processes.

Informazioni sugli autori

Rabi N. Bhattacharya is a Professor of Mathematics at the University of Arizona. He is an IMS Fellow, a member of the AMS, and a recipient of the Humboldt Prize and a Guggenheim Fellowship.

Edward C. Waymire is a Professor of Mathematics and Statistics at Oregon State University. He is a member of the AMS and SIAM, a Fellow of the IMS, and past Editor in Chief for the Annals of Applied Probability.