Introduction to Random Processes

Rozanov Yurii A. R?thinger Birgit

ISBN 10: 3642727190 / ISBN 13: 9783642727191

Published by Springer, 2011

About this Item

Print on Demand pp. 132 7 Figures, 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.

Seller Inventory # 55077853

Bibliographic Details

• Title: Introduction to Random Processes
• Publisher: Springer
• Publication Date: 2011
• Language: English
• ISBN 10: 3642727190
• ISBN 13: 9783642727191
• Binding: Soft cover
• Condition: New

About this title

Synopsis

Today, the theory of random processes represents a large field of mathematics with many different branches, and the task of choosing topics for a brief introduction to this theory is far from being simple. This introduction to the theory of random processes uses mathematical models that are simple, but have some importance for applications. We consider different processes, whose development in time depends on some random factors. The fundamental problem can be briefly circumscribed in the following way: given some relatively simple characteristics of a process, compute the probability of another event which may be very complicated; or estimate a random variable which is related to the behaviour of the process. The models that we consider are chosen in such a way that it is possible to discuss the different methods of the theory of random processes by referring to these models. The book starts with a treatment of homogeneous Markov processes with a countable number of states. The main topic is the ergodic theorem, the method of Kolmogorov's differential equations (Secs. 1-4) and the Brownian motion process, the connecting link being the transition from Kolmogorov's differential-difference equations for random walk to a limit diffusion equation (Sec. 5).