Applied Stochastic Processes
Opis
Suitable for a first-year graduate course, this text presents a concise account of applied stochastic processes. The book focuses on applications while also developing an essentially complete mathematical theory. It covers applications of queues, the mathematical model of a single stock market, and other examples. After a review of basic probability, the author discusses Poisson processes, renewal processes, discrete- and continuous-time Markov chains, Brownian motion, and stochastic differential equations. The text includes numerous examples throughout and exercises at the end of most sections.