Applied stochastic processes. (2013)

• Record Type: Book
• Further Information: Note: By Ming Liao.
• Authors: (Mathematician), Liao, Ming
• Contents: Probability and Stochastic Processes; Probability; Random variables and their distributions; Mathematical expectation; Joint distribution and independence; Convergence of random variables; Laplace transform and generating functions; Examples of discrete distributions; Examples of continuous distributions; Stochastic processes; Stopping times; Conditional expectation Poisson Processes; Introduction to Poisson processes; Arrival and inter-arrival times of Poisson processes; Conditional distribution of arrival times; Poisson processes with different types of events; Compound Poisson processes; Nonhomogeneous Poisson processes Renewal Processes; An introduction to renewal processes; Renewal reward processes; Queuing systems; Queue lengths, waiting times, and busy periods; Renewal equation; Key renewal theorem; Regenerative processes; Queue length distribution and PASTA Discrete Time Markov Chains; Markov property and transition probabilities; Examples of discrete time Markov chains; Multi-step transition and reaching probabilities; Classes, recurrence, and transience; Periodicity, class property, and positive recurrence; Expected hitting time and hitting probability; Stationary distribution; Limiting properties Continuous Time Markov Chain; Markov property and transition probability; Transition rates; Stationary distribution and limiting properties; Birth and death processes; Exponential queuing systems; Time reversibility; Hitting time and phase-type distributions; Queuing systems with time-varying rates Brownian Motion and Beyond; Brownian motion; Standard Brownian motion and its maximum; Conditional expectation and martingales; Brownian motion with drift; Stochastic integrals; Itô’s formula and stochastic differential equations; A single stock market model Bibliography Index
• Publisher Details: Place of publication not identified : Chapman and Hall/CRC
• Publication Date: 2013
• Extent: 1 online resource (208 pages), (6 illustrations)
• Subjects: 519.2; Stochastic processes
• Languages: English
• ISBNs: 9781466589346; 1466589345
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.