Stochastic processes with applications [electronic resource] / Rabi N. Bhattacharya, Edward C. Waymire

Author:: Bhattacharya, R. N. (Rabindra Nath), 1937-
Published:: Philadelphia : Society for Industrial and Applied Mathematics, [2009]
Copyright Date:: ©2009
Edition:: SIAM ed., [Classics ed.].
Physical Description:: xvii, 676 pages : illustrations ; 23 cm.
Additional Creators:: Waymire, Edward C.

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Series:

Classics in applied mathematics ; 61

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Contents:

Machine generated contents note: I.Random Walk and Brownian Motion -- II.Discrete-Parameter Markov Chians -- III.Birth-Death Markov Chains -- IV.Continuous-Parameter Markov Chains -- V.Brownian Motion and Diffusions -- VI.Dynamic Programming and Stochastic Optimization -- VII.An Introduction to Stochastic Differential Equation.

Summary:

"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." "Stochastic Processes with Applications can be used for a number of different courses for graduate students of mathematics, statistics, economics, engineering, and other fields who have some background in probability and analysis. It is also intended as a reference for researchers and professionals in many areas of science and technology whose work involves the application of probability." --Book Jacket.

Subject(s):

Stochastic processes

Genre(s):

Electronic books

ISBN:

9780898716894
0898716896

Note:

Originally published: New York : Wiley, c1990.
Includes indexes.

View MARC record | catkey: 7895021