Introduction To Stochastic Processes With R

Author by : Robert P. Dobrow
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 91
Total Download : 832
File Size : 46,8 Mb
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Description : An introduction to stochastic processes through the use of R Introduction to Stochastic Processes with R is an accessible and well-balanced presentation of the theory of stochastic processes, with an emphasis on real-world applications of probability theory in the natural and social sciences. The use of simulation, by means of the popular statistical freeware R, makes theoretical results come alive with practical, hands-on demonstrations. Written by a highly-qualified expert in the field, the author presents numerous examples from a wide array of disciplines, which are used to illustrate concepts and highlight computational and theoretical results. Developing readers’ problem-solving skills and mathematical maturity, Introduction to Stochastic Processes with R features: Over 200 examples and 600 end-of-chapter exercises A tutorial for getting started with R, and appendices that contain review material in probability and matrix algebra Discussions of many timely and interesting supplemental topics including Markov chain Monte Carlo, random walk on graphs, card shuffling, Black-Scholes options pricing, applications in biology and genetics, cryptography, martingales, and stochastic calculus Introductions to mathematics as needed in order to suit readers at many mathematical levels A companion website that includes relevant data files as well as all R code and scripts used throughout the book Introduction to Stochastic Processes with R is an ideal textbook for an introductory course in stochastic processes. The book is aimed at undergraduate and beginning graduate-level students in the science, technology, engineering, and mathematics disciplines. The book is also an excellent reference for applied mathematicians and statisticians who are interested in a review of the topic.


Introduction To Stochastic Processes Second Edition

Author by : Gregory F. Lawler
Language : en
Publisher by : CRC Press
Format Available : PDF, ePub, Mobi
Total Read : 82
Total Download : 451
File Size : 45,7 Mb
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Description : Emphasizing fundamental mathematical ideas rather than proofs, Introduction to Stochastic Processes, Second Edition provides quick access to important foundations of probability theory applicable to problems in many fields. Assuming that you have a reasonable level of computer literacy, the ability to write simple programs, and the access to software for linear algebra computations, the author approaches the problems and theorems with a focus on stochastic processes evolving with time, rather than a particular emphasis on measure theory. For those lacking in exposure to linear differential and difference equations, the author begins with a brief introduction to these concepts. He proceeds to discuss Markov chains, optimal stopping, martingales, and Brownian motion. The book concludes with a chapter on stochastic integration. The author supplies many basic, general examples and provides exercises at the end of each chapter. New to the Second Edition: Expanded chapter on stochastic integration that introduces modern mathematical finance Introduction of Girsanov transformation and the Feynman-Kac formula Expanded discussion of Itô's formula and the Black-Scholes formula for pricing options New topics such as Doob's maximal inequality and a discussion on self similarity in the chapter on Brownian motion Applicable to the fields of mathematics, statistics, and engineering as well as computer science, economics, business, biological science, psychology, and engineering, this concise introduction is an excellent resource both for students and professionals.


Introduction To Stochastic Processes

Author by : Erhan Cinlar
Language : en
Publisher by : Courier Corporation
Format Available : PDF, ePub, Mobi
Total Read : 89
Total Download : 446
File Size : 46,7 Mb
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Description : Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.


An Introduction To Stochastic Processes And Nonequilibrium Statistical Physics

Author by : Horacio S Wio
Language : en
Publisher by : World Scientific Publishing Company
Format Available : PDF, ePub, Mobi
Total Read : 17
Total Download : 683
File Size : 53,9 Mb
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Description : This book aims to provide a compact and unified introduction to the most important aspects in the physics of non-equilibrium systems. It first introduces stochastic processes and some modern tools and concepts that have proved their usefulness to deal with non-equilibrium systems from a purely probabilistic angle. The aim is to show the important role played by fluctuations in far-from-equilibrium situations, where noise can promote order and organization, switching among non-equilibrium states, etc. The second part adopts a more historical perspective, retracing the first steps taken from the purely thermodynamic as well as from the kinetic points of view to depart (albeit slightly) from equilibrium. The third part revisits the path outlined in the first one, but now undertakes the mesoscopic description of extended systems, where new phenomena (patterns, long-range correlations, scaling far from equilibrium, etc.) are observed. This book is a revised and extended version of an earlier edition published in 1994. It includes topics of current research interest in far-from-equilibrium situations like noise-induced phenomena and free energy-like functionals, surface growth and roughening, etc. It can be used as an advanced textbook by graduate students in physics. It also covers topics of current interest in other disciplines and interdisciplinary approaches in engineering, biophysics, and economics, among others. The level of detail in the book is enough to capture the interest of the reader and facilitate the path to more learning by exploring the modern research literature provided. At the same time, the book is also complete enough to be self-contained for those readers who just need an overview of the subject.


Introduction To Probability With R

Author by : Kenneth Baclawski
Language : en
Publisher by : CRC Press
Format Available : PDF, ePub, Mobi
Total Read : 21
Total Download : 466
File Size : 48,8 Mb
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Description : Based on a popular course taught by the late Gian-Carlo Rota of MIT, with many new topics covered as well, Introduction to Probability with R presents R programs and animations to provide an intuitive yet rigorous understanding of how to model natural phenomena from a probabilistic point of view. Although the R programs are small in length, they are just as sophisticated and powerful as longer programs in other languages. This brevity makes it easy for students to become proficient in R. This calculus-based introduction organizes the material around key themes. One of the most important themes centers on viewing probability as a way to look at the world, helping students think and reason probabilistically. The text also shows how to combine and link stochastic processes to form more complex processes that are better models of natural phenomena. In addition, it presents a unified treatment of transforms, such as Laplace, Fourier, and z; the foundations of fundamental stochastic processes using entropy and information; and an introduction to Markov chains from various viewpoints. Each chapter includes a short biographical note about a contributor to probability theory, exercises, and selected answers. The book has an accompanying website with more information.


An Introduction To Stochastic Modeling

Author by : Howard M. Taylor
Language : en
Publisher by : Gulf Professional Publishing
Format Available : PDF, ePub, Mobi
Total Read : 71
Total Download : 583
File Size : 50,9 Mb
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Description : 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, Third 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. * Realistic applications from a variety of disciplines integrated throughout the text * Plentiful, updated and more rigorous problems, including computer "challenges" * Revised end-of-chapter exercises sets-in all, 250 exercises with answers * New chapter on Brownian motion and related processes * Additional sections on Matingales and Poisson process * Solutions manual available to adopting instructors


Functional Analysis For Probability And Stochastic Processes

Author by : Adam Bobrowski
Language : en
Publisher by : Cambridge University Press
Format Available : PDF, ePub, Mobi
Total Read : 63
Total Download : 943
File Size : 47,8 Mb
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Description : This text is designed both for students of probability and stochastic processes, and for students of functional analysis. For the reader not familiar with functional analysis a detailed introduction to necessary notions and facts is provided. However, this is not a straight textbook in functional analysis; rather, it presents some chosen parts of functional analysis that can help understand ideas from probability and stochastic processes. The subjects range from basic Hilbert and Banach spaces, through weak topologies and Banach algebras, to the theory of semigroups of bounded linear operators. Numerous standard and non-standard examples and exercises make the book suitable as a course textbook or for self-study.


Introduction To Stochastic Programming

Author by : John R. Birge
Language : en
Publisher by : Springer Science & Business Media
Format Available : PDF, ePub, Mobi
Total Read : 96
Total Download : 304
File Size : 53,7 Mb
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Description : This rapidly developing field encompasses many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors present a broad overview of the main themes and methods of the subject, thus helping students develop an intuition for how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. The early chapters introduce some worked examples of stochastic programming, demonstrate how a stochastic model is formally built, develop the properties of stochastic programs and the basic solution techniques used to solve them. The book then goes on to cover approximation and sampling techniques and is rounded off by an in-depth case study. A well-paced and wide-ranging introduction to this subject.


Introduction To Stochastic Models

Author by : Marius Iosifescu
Language : en
Publisher by : John Wiley & Sons
Format Available : PDF, ePub, Mobi
Total Read : 44
Total Download : 547
File Size : 54,5 Mb
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Description : This book provides a pedagogical examination of the way in which stochastic models are encountered in applied sciences and techniques such as physics, engineering, biology and genetics, economics and social sciences. It covers Markov and semi-Markov models, as well as their particular cases: Poisson, renewal processes, branching processes, Ehrenfest models, genetic models, optimal stopping, reliability, reservoir theory, storage models, and queuing systems. Given this comprehensive treatment of the subject, students and researchers in applied sciences, as well as anyone looking for an introduction to stochastic models, will find this title of invaluable use.


An Introduction To Stochastic Processes

Author by : M. S. Bartlett
Language : en
Publisher by : CUP Archive
Format Available : PDF, ePub, Mobi
Total Read : 66
Total Download : 396
File Size : 40,9 Mb
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Description : Random sequences; Processes in continuous time; Miscellaneous statistical applications; Limiting stochastic operations; Stationary processes; Prediction and communication theory; The statistical analysis of stochastic processes; Correlation analysis of time-series.