Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series) - Hardcover

Lawler, Gregory F.

  • 4.33 out of 5 stars
    27 ratings by Goodreads
 
9780412995118: Introduction to Stochastic Processes (Chapman & Hall/CRC Probability Series)
Hardcover
ISBN 10: 0412995115 ISBN 13: 9780412995118
Publisher: Chapman and Hall/CRC, 1995

Synopsis

This concise, informal introduction to stochastic processes evolving with time was designed to meet the needs of graduate students not only in mathematics and statistics, but in the many fields in which the concepts presented are important, including computer science, economics, business, biological science, psychology, and engineering.

With emphasis on fundamental mathematical ideas rather than proofs or detailed applications, the treatment introduces the following topics:

  • Markov chains, with focus on the relationship between the convergence to equilibrium and the size of the eigenvalues of the stochastic matrix
  • Infinite state space, including the ideas of transience, null recurrence and positive recurrence
  • The three main types of continual time Markov chains and optimal stopping of Markov chains
  • Martingales, including conditional expectation, the optional sampling theorem, and the martingale convergence theorem
  • Renewal process and reversible Markov chains
  • Brownian motion, both multidimensional and one-dimensional

    Introduction to Stochastic Processes is ideal for a first course in stochastic processes without measure theory, requiring only a calculus-based undergraduate probability course and a course in linear algebra.

    • "synopsis" may belong to another edition of this title.

    About the Author

    Gregory F. Lawler is Professor of Mathematics and Statistics at the University of Chicago. He received the George Polya Prize in 2006 for his work with Oded Schramm and Wendelin Werner.

    Review

    "Well-chosen examples and interesting exercises make this text a good choice for a first course in stochastic processes for a broad class of students." - Journal of the American Statistical Association

    "About this title" may belong to another edition of this title.

    Publisher
    Chapman and Hall/CRC
    Publication date
    1995
    Language
    English
    ISBN 10 
    0412995115
    ISBN 13 
    9780412995118
    Binding
    Hardcover
    Edition number
    1
    Number of pages
    192
    Rating
    • 4.33 out of 5 stars
      27 ratings by Goodreads