Probability theory and stochastic processes (Q5918117)

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scientific article; zbMATH DE number 7188888
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Probability theory and stochastic processes
scientific article; zbMATH DE number 7188888

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    Probability theory and stochastic processes (English)
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    9 April 2020
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    This extended book has three objectives. The first is to provide the theoretical background necessary for the student to feel comfortable and secure in the utilization of probabilistic models, particularly those involving stochastic processes. The second is to introduce the specific stochastic processes most often encountered in applications (operations research, insurance, finance, biology, physics, computer and communications sciences and signal processing), that is, Markov chains in discrete and continuous time, Poisson processes in time and space, renewal and regenerative processes, queues and their networks, wide-sense stationary processes, and Brownian motion. The third objective is to present advanced tools such as martingales, ergodic theory, Palm theory and stochastic integration, useful for the analysis of the more complex stochastic models. The only prerequisite is an elementary knowledge of calculus and of linear algebra usually acquired at the undergraduate or beginning graduate level. The material of the book has been divided into three parts roughly corresponding to the three objectives. They are devoted to probability theory, standard stochastic processes and advanced topics, respectively. Every part is divided into chapters, there are 17 chapters in total, and every chapter is concluded by exercises. Selected chapters: Integration, Convergences, Spatial Poisson processes, Queueing processes, Point processes with a Stochastic intensity, A glimpse at Itô's stochastic calculus. Appendices are devoted to number theory, linear algebra, analysis and Hilbert spaces. The book is very interesting and useful to a very wide audience: students, postgraduates, practitioners and everybody who wants to study random objects and apply stochastic methods.
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    probability
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    stochastic processes
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    stochastic calculus
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    complex stochastic models
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