No label defined (Q4367948)

The book is an introduction to stochastic processes with an emphasis on applications. The reader is assumed to have some knowledge of calculus and elementary probability. The introductory first chapter (including a proof of the strong LLN based on the Borel-Cantelli lemma) is followed by chapters on the Poisson process, renewal theory, discrete- and continuous-time Markov chains, martingales, random walks, Brownian motion, stochastic order relations and Poisson approximations. The monograph contains a wealth of examples and applications (e.g. queues, risk problems, population models). Each chapter is followed by a large number of exercises -- some with solutions at the end of the book. The author tries to use as little measure theory as possible. Yet the treatment is essentially rigorous and complete. In some cases proofs are provided only under more restrictive assumptions than stated in the theorem (e.g. Blackwell's renewal theorem and the martingale convergence theorem). Notable changes compared to the first edition (1983) are a separate chapter on martingales including a section on the (generalized) Azuma inequality and a new chapter on Poisson approximation including the Stein-Chen method for bounding the error of the approximation. Due to the excellent compromise between rigorous presentation and heuristic explanation as well as lively style and the wealth of examples this edition is likely to become as successful as the first one.