Stochastic modeling (Q345425): Difference between revisions

There is a wide spectrum of topics discussed in this book. Part I `Probability theory' (Chapters 1--3) and Part II `Stochastic processes' (Chapters 4--10) are more or less traditional. The notions are clearly defined and all results rigorously proved. There are exercises at end of each chapter (except one). After this serious `preparation', the author moves to Part III `Special models' (Chapters 11--17). Each chapter consists of sections, from 4 to 6. The topics discussed in this part are exactly what makes this book different from hundreds of other books in probability theory. The stochastic models chosen were developed over the last 3--4 decades, or so. One of the emphasis is on the interrelations between several special processes as real-world models and simulation of these processes in C and Matlab. It is useful to list the name of the chapters: 1. Basics of measure and probability theory. 2. Distribution and conditional expectation. 3. Limit theorems. 4. Stochastic processes: general definition. 5. Martingales. 6. Branching processes. 7. Discrete-time Markov chains. 8. Symmetric simple random walk. 9. Poisson point and Poisson processes. 10. Continuous-time Markov chains. 11. Logistic growth process. 12. Wright-Fisher and Moran models. 13. Percolation models. 14. Interacting particle systems. 15. The contact process. 16. The voter model. 17. Numerical simulations in C and Matlab. There are also References and Index. Thus, in just 300 pages, the author succeeds to describe the necessary classical material and combine it with topics from modern applied probability theory. The book is addressed to advanced undergraduate and graduate students. In order to be successful, e.g., to solve the 175 exercises (only to some of them are given hints, but no solutions), the reader needs a serious independent work. The topics in Part III can be used for research projects. This is why the author has included useful brief notes called `Further reading' indicating appropriate sources from the list of references. It is also interesting to find several classical examples with all details. They are in the whole text. It is a little unusual but good to see the list of references. There are, of course, contemporary names and works, however most of the classical names and their classical works are included, starting from Fermat, `stopping' at Chebyshev, Kolmogorov, Doob, and ending with Dobrushin and Kingman. Most impressive is the graph/configuration in page 299 showing 31 names followed by the years of birth and death and the nationality. Each name matches in a tricky way with the greatest achievement by that scientist and the year when it was done. The text is so carefully written and checked, that I was unable to find a single typo. The book can be strongly recommended to those students and teachers who want to be in line with modern probability theory and its diverse applications.