Essentials of Stochastic Processes [3rd edition] 9783319456133, 9783319456140, 9783319833316, 3319833316

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and

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English Pages IX, 275 Seiten in 1 Teil 26 Illustrationen 23.5 cm x 15.5 cm, 4394 g Year 2016;2018

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Essentials of Stochastic Processes [3rd edition]
 9783319456133, 9783319456140, 9783319833316, 3319833316

Table of contents :
1) Markov Chains1.1 Definitions and Examples1.2 Multistep Transition Probabilities1.3 Classification of States 1.4 Stationary Distributions1.4.1 Doubly stochastic chains1.5 Detailed balance condition1.5.1 Reversibility 1.5.2 The Metropolis-Hastings algorithm1.5.3 Kolmogorow cycle condition 1.6 Limit Behavior 1.7 Returns to a fixed state 1.8 Proof of the convergence theorem*1.9 Exit Distributions 1.10 Exit Times1.11 Infinite State Spaces* 1.12 Chapter Summary1.13 Exercises2) Poisson Processes 2.1 Exponential Distribution 2.2 Defining the Poisson Process2.2.1 Constructing the Poisson Process2.2.2 More realistic models2.3 Compound Poisson Processes 2.4 Transformations2.4.1 Thinning 2.4.2 Superposition2.4.3 Conditioning2.5 Chapter Summary2.6 Exercises 3) Renewal Processes3.1 Laws of Large Numbers3.2 Applications to Queueing Theory3.2.1 GI/G/1 queue3.2.2 Cost equations 3.2.3 M/G/1 queue3.3 Age and Residual Life*3.3.1 Discrete case3.3.2 General case 3.4 Chapter Summary 3.5 Exercises4) Continuous Time Markov Chains 4.1 Definitions and Examples4.2 Computing the Transition Probability4.2.1 Branching Processes 4.3 Limiting Behavior 4.3.1 Detailed balance condition 4.4 Exit Distributions and Exit Times 4.5 Markovian Queues 4.5.1 Single server queues4.5.2 Multiple servers4.5.3 Departure Processes 4.6 Queueing Networks*4.7 Chapter Summary4.8 Exercises 5) Martingales 5.1 Conditional Expectation 5.2 Examples5.3 Gambling Strategies, Stopping Times 5.4 Applications 5.4.1 Exit distributions5.4.2 Exit times 5.4.3 Extinction and ruin probabilities5.4.4 Positive recurrence of the GI/G/1 queue*5.5 Exercises6) Mathematical Finance6.1 Two Simple Examples6.2 Binomial Model 6.3 Concrete Examples 6.4 American Options6.5 Black-Scholes formula6.6 Calls and Puts6.7 ExercisesA) Review of Probability A.1 Probabilities, Independence A.2 Random Variables, Distributions A.3 Expected Value, MomentsA.4 Integration to the Limit

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