Applied Stochastic Processes

1st Edition

Ming Liao

Chapman and Hall/CRC
August 30, 2019 Forthcoming
Reference - 208 Pages
ISBN 9780367379773 - CAT# K449838

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Summary

Applied Stochastic Processes presents a concise, graduate-level treatment of the subject, emphasizing applications and practical computation. It also establishes the complete mathematical theory in an accessible way.





After reviewing basic probability, the text covers Poisson processes, renewal processes, discrete- and continuous-time Markov chains, and Brownian motion. It also offers an introduction to stochastic differential equations. While the main applications described are queues, the book also considers other examples, such as the mathematical model of a single stock market.





With exercises in most sections, this book provides a clear, practical introduction for beginning graduate students. The material is presented in a straightforward manner using short, motivating examples. In addition, the author develops the mathematical theory with a strong emphasis on probability intuition.

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