Applied Stochastic Processes (Universitext)

Applied Stochastic Processes (Universitext)

Mario Lefebvre

Language: English

Pages: 382

ISBN: 0387341714

Format: PDF / Kindle (mobi) / ePub


This book uses a distinctly applied framework to present the most important topics in stochastic processes, including Gaussian and Markovian processes, Markov Chains, Poisson processes, Brownian motion and queueing theory. The book also examines in detail special diffusion processes, with implications for finance, various generalizations of Poisson processes, and renewal processes. It contains numerous examples and approximately 350 advanced problems that reinforce both concepts and applications. Entertaining mini-biographies of mathematicians give an enriching historical context. The book includes statistical tables and solutions to the even-numbered problems at the end.

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