Stochastic Processes

ISBN-13: 9780471120629 / Angielski / Twarda / 1995 / 528 str.

Sheldon M. Ross

Opis

This book contains material on compound Poisson random variables including an identity which can be used to efficiently compute moments, Poisson approximations, and coverage of the mean time spent in transient states as well as examples relating to the Gibba s sampler, the Metropolis algorithm and mean cover time in star graphs.

Spis treści

Preliminaries.

The Poisson Process.

Renewal Theory.

Markov Chains.

Continuous–Time Markov Chains.

Martingales.

Random Walks.

Brownian Motion and Other Markov Processes.

Stochastic Order Relations.

Poisson Approximations.

Answers and Solutions to Selected Problems.

Index.

O autorze

Sheldon M. Ross is a professor in the Department of Industrial Engineering and Operations Research at the University of Southern California. He received his Ph.D. in statistics at Stanford University in 1968. He has published many technical articles and textbooks in the areas of statistics and applied probability. Professor Ross is the founding and continuing editor of the journal "Probability in the Engineering" and "Informational Sciences". He is a Fellow of the Institute of Mathematical Statistics, and a recipient of the Humboldt US Senior Scientist Award.