Applied stochastic processes. (Q869478)

The book aims at providing the readers with a reference that covers the most important subjects in the field of stochastic processes and that is accessible to students who do not necessarily have a sound theoretical knowledge of mathematics. The author does not insist very much on rigorous proofs of theoretical results; rather, he spends much more time on applications of these results. After the review of elementary probability in Chapter 1, the remainder of this chapter is devoted to random variables and vectors. In particular, it covers the notion of conditional expectation. The main characteristics of stochastic processes are given in Chapter 2. Important properties, such as the concept of independent and stationary increments, are defined in Section 2.1. Next, Sections 2.2 and 2.3 deal with ergodicity and stationarity, respectively. The chapter ends with a section on Gaussian and Markovian processes. Chapter 3 is the longest in this book. It covers the cases of both discrete-time and continuous-time Markov processes. It treats the problem of calculating the limiting probabilities of the chains in detail. Branching processes and birth and death processes are two of the particular cases considered. The chapter contains nearly 100 exercises at its end. The Wiener process is the main subject of Chapter 4. Various processes based on the Wiener process are presented as well. In particular, there are subsections on models such as the geometric Brownian motion, which is very important in financial mathematics, and the Ornstein-Uhlenbeck process. White noise is defined, and first-passage problems are discussed in the last section of the chapter. In Chapter 5, the Poisson process is studied in detail. Several generalizations of this process, including nonhomogeneous Poisson processes and renewal processes, can be found in this chapter. Finally, Chapter 6 is concerned with the theory of queues. The models with a single server and those with at least two servers are treated separately. In general, it limits itself to the case of exponential models, in which both the times between successive customers and the service times are exponential random variables. This chapter then becomes an application of chapter 3 (and 5). In addition to the examples presented in the theory, the book contains approximately 350 exercises, many of which are multiple-part problems. These exercises are all problems given in exams or homework and were mostly created for these exams or homework. The answers to the even-numbered problems are given in Appendix B.