Applied Stochastic Processes

  • Mario Lefebvre

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Pages 47-72
  3. Pages 73-172
  4. Pages 173-229
  5. Pages 231-313
  6. Pages 315-356
  7. Back Matter
    Pages 357-386

About this book


Applied Stochastic Processes uses a distinctly applied framework to present the most important topics in the field of stochastic processes.

Key features:

-Presents carefully chosen topics such as Gaussian and Markovian processes, Markov chains, Poisson processes, Brownian motion, and queueing theory

-Examines in detail special diffusion processes, with implications for finance, various generalizations of Poisson processes, and renewal processes

-Serves graduate students in a variety of disciplines such as applied mathematics, operations research, engineering, finance, and business administration

-Contains numerous examples and approximately 350 advanced problems, reinforcing both concepts and applications

-Includes entertaining mini-biographies of mathematicians, giving an enriching historical context

-Covers basic results in probability

Two appendices with statistical tables and solutions to the even-numbered problems are included at the end. This textbook is for graduate students in applied mathematics, operations research, and engineering. Pure mathematics students interested in the applications of probability and stochastic processes and students in business administration will also find this book useful.

Bio: Mario Lefebvre received his B.Sc. and M.Sc. in mathematics from the Université de Montréal, Canada, and his Ph.D. in mathematics from the University of Cambridge, England. He is a professor in the Department of Mathematics and Industrial Engineering at the École Polytechnique de Montréal. He has written five books, including another Springer title, Applied Probability and Statistics, and has published numerous papers on applied probability, statistics, and stochastic processes in international mathematical and engineering journals. This book developed from the author’s lecture notes for a course he has taught at the École Polytechnique de Montréal since 1988.


Brownian motion Markov Markov chain Poisson process Probability theory STATISTICA diffusion process operations research queueing theory stochastic process

Authors and affiliations

  • Mario Lefebvre
    • 1
  1. 1.Département de mathématiques et de génie industrielÉcole Polytechnique de Montréal, QuébecMontréalCanada

Bibliographic information