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  • Textbook
  • © 2007

Applied Stochastic Processes

Authors:

  • 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 minibiographies of mathematicians, giving an enriching historical context

  • Covers basic results in probability to make the text self-contained

  • Includes supplementary material: sn.pub/extras

Part of the book series: Universitext (UTX)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xiii
  2. Stochastic Processes

    Pages 47-72
  3. Markov Chains

    Pages 73-172
  4. Diffusion Processes

    Pages 173-229
  5. Poisson Processes

    Pages 231-313
  6. Queueing Theory

    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.

Authors and Affiliations

  • Département de mathématiques et de génie industriel, École Polytechnique de Montréal, Québec, Montréal, Canada

    Mario Lefebvre

About the author





Bibliographic Information

Buy it now

Buying options

eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access