An Introduction to Stochastic Modeling

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Academic Press, 2011 - Mathematics - 563 pages

Serving as the foundation for a one-semester course in stochastic processes for students familiar with elementary probability theory and calculus, Introduction to Stochastic Modeling, Fourth Edition, bridges the gap between basic probability and an intermediate level course in stochastic processes. The objectives of the text are to introduce students to the standard concepts and methods of stochastic modeling, to illustrate the rich diversity of applications of stochastic processes in the applied sciences, and to provide exercises in the application of simple stochastic analysis to realistic problems.

New to this edition:

  • Realistic applications from a variety of disciplines integrated throughout the text, including more biological applications
  • Plentiful, completely updated problems
  • Completely updated and reorganized end-of-chapter exercise sets, 250 exercises with answers
  • New chapters of stochastic differential equations and Brownian motion and related processes
  • Additional sections on Martingale and Poisson process


  • Realistic applications from a variety of disciplines integrated throughout the text
  • Extensive end of chapter exercises sets, 250 with answers
  • Chapter 1-9 of the new edition are identical to the previous edition
  • New! Chapter 10 - Random Evolutions
  • New! Chapter 11- Characteristic functions and Their Applications
 

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Book is sometimes overdone, other times not comprehensive enough, error and typo-ridden, and fairly annoying to read. Would not recommend using unless absolutely required for a class.

Contents

Chapter 1 Introduction
1
Chapter 2 Conditional Probability and Conditional Expectation
47
Introduction
79
Chapter 4 The Long Run Behavior of Markov Chains
165
Chapter 5 Poisson Processes
223
Chapter 6 Continuous Time Markov Chains
277
Chapter 7 Renewal Phenomena
347
Chapter 8 Brownian Motion and Related Processes
391
Chapter 9 Queueing Systems
447
Chapter 10 Random Evolutions
495
Chapter 11 Characteristic Functions and Their Applications
525
Further Reading
541
Answers to Exercises
543
Index
557
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