A Second Course in Stochastic Processes, Volume 2

Samuel Karlin, India, Howard E. Taylor, Howard M. Taylor

Gulf Professional Publishing, May 12, 1981 - Mathematics - 542 pages

This Second Course continues the development of the theory and applications of stochastic processes as promised in the preface of
A First Course. We emphasize a careful treatment of basic structures in stochastic processes in symbiosis with the analysis of natural classes of stochastic processes arising from the biological, physical, and social sciences.

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Contents

• CONTENTS OF A FIRST COURSE: 1
• Relations of Eigenvalues and Recurrence Classes: 3
• Special Computational Methods in Markov Chains: 10
• Applications to Coin Tossing: 18
• Index: 23
• Chapter 11: 31
• Chapter 12: 72
• Right Regular Sequences for the Markov Chain Sn: 83
• The Discrete Renewal Theorem: 93
• Chapter 13: 100
• The Ballot Problem: 107
• Empirical Distribution Functions and Order Statistics: 113
• Some Limit Distributions for Empirical Distribution Functions: 119
• Chapter 14: 138
• Construction of a Continuous Time Markov Chain from: 145
• Chapter 15: 157
• Examples of Diffusion: 169
• Differential Equations Associated with Certain Functionals: 191
• Some Concrete Cases of the Functional Calculations: 205
• The Nature of Backward and Forward Equations and Calculation: 213
• Boundary Classification for Regular Diffusion Processes: 226
• Some Further Characterization of Boundary Behavior: 242
• Some Constructions of Boundary Behavior of Diffusion Processes: 251
• Conditioned Diffusion Processes: 261
• Some Natural Diffusion Models with Killing: 272
• Semigroup Formulation of Continuous Time Markov Processes: 289
• Further Topics in the Semigroup Theory of Markov Processes: 305
• Compound Poisson Processes: 319
• The Spectral Representation of the Transition Density: 330
• The Concept of Stochastic Differential Equations: 340
• Some Stochastic Differential Equation Models: 358
• A Preview of Stochastic Differential Equations: 368
• Elementary Problems Problems: 377
• Notes References: 395
• Chapter 16: 398
• An Application of Multidimensional Poisson Processes to Astronomy: 404
• OneDimensional Geometric Population Growth: 413
• Deterministic Population Growth with Age Distribution: 419
• A Discrete Aging Model: 425
• FLUCTUATION THEORY OF PARTIAL SUMS OF INDEPENDENT IDENTICALLY DISTRIBUTED RANDOM VARIABLES 451: 453
• Some Fundamental Identities of Fluctuation Theory and Direct Applications: 459
• The Important Concept of Ladder Random Variables: 464
• Proof of the Main Fluctuation Theory Identities: 468
• More Applications of Fluctuation Theory Problems Notes References 459 464 468: 473
• QUEUEING PROCESSES 489 490 492 1 General Description 2 The Simplest Queueing Processes MM1: 490
• Some General OneServer Queueing Models: 492
• Embedded Markov Chain Method Applied to the Queueing Model MGI1: 497
• Exponential Service Times GM1: 504
• Gamma Arrival Distribution and Generalizations ExM11: 506
• Exponential Service with s Servers GIMs: 511
• The Virtual Waiting Time and the Busy Period: 513
• Problems: 519
• Notes References: 525
• MISCELLANEOUS PROBLEMS 527 Index: 541

About the author

Howard E. Taylor is a research chemist with the National Research Program, Water Resources Division, U.S. Geological Survey located in Boulder, Colorado. Dr. Taylor has played a major role over the past 25 years in the development of plasma spectrometric techniques in analytical chemistry, as reflected in his more than 150 technical publications and the presentation of numerous papers at national and international technical meetings. He has served as faculty affiliate at Colorado State University and has taught American Chemical Society Short Courses for more than 15 years.

Bibliographic information

• Title: A Second Course in Stochastic Processes, Volume 2
• Authors: Samuel Karlin, India, Howard E. Taylor, Howard M. Taylor
• Edition: reprint
• Publisher: Gulf Professional Publishing, 1981
• ISBN: 0123986508, 9780123986504
• Length: 542 pages
• Subjects: Mathematics / Applied; Mathematics / Probability & Statistics / General