scientific article; zbMATH DE number 1093829
From MaRDI portal
Publication:4367948
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.
Recommendations
- Essentials of stochastic processes
- A course in stochastic processes. Stochastic models and statistical inference
- scientific article; zbMATH DE number 1237738
- Stochastic Processes with Applications
- Applied stochastic processes.
- Random walk, Brownian motion, and martingales
- scientific article; zbMATH DE number 1321103
- Applied stochastic processes
- A first look at stochastic processes
- Probability theory and stochastic processes
Cited in
(only showing first 100 items - show all)- Random fuzzy EOQ model with imperfect quality items
- A note on common infections and the non-antibiotic treatment option
- Random fuzzy alternating renewal processes
- Statistical estimation for a failure model with damage accumulation in a case of small samples
- Risk model with fuzzy random individual claim amount
- Random fuzzy delayed renewal processes
- Generalized orderings of excess lifetimes of renewal processes
- Backstepping controller design for a class of stochastic nonlinear systems with Markovian switching
- Optimal balking strategies and pricing for the single server Markovian queue with compartmented waiting space
- Dynamic analysis of a unified multivariate counting process and its asymptotic behavior
- The power saving mechanism with binary exponential traffic indications in the IEEE 802.16e/m
- Randomized group up and down experiments
- Outsourcing strategy in two-stage call centers
- A new partial pooling structure for spare parts networks
- The \(G/GI/N\) queue in the Halfin-Whitt regime
- On a class of approximations for ruin and waiting time probabilities
- Exit probability of two-dimensional random walk from the quadrant
- Optimal Central Bank intervention in the foreign exchange market
- Estimation for nonhomogeneous Poisson processes from aggregated data
- Aging and other distributional properties of discrete compound geometric distributions
- Compound geometric residual lifetime distributions and the deficit at ruin.
- Some recursions for moments of compound distributions.
- Recursive calculation of finite time ruin probabilities under interest force.
- Testing the race model inequality: A nonparametric approach.
- A multivariate counting process with Weibull-distributed first-arrival times.
- Some limit theorems in geometric processes
- Hiring policies in an uncertain environment: Cost and productivity trade-offs
- Analysis and simulation of a stochastic, discrete-individual model of STD transmission with partnership concurrency
- Restart strategies and Internet congestion
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- A renewal theoretic approach to environmental standard setting
- Sample path analysis of contribution and reward in cooperative groups
- A method for computing the autocovariance of renewal processes
- A common goodness-of-fit framework for neural population models using marked point process time-rescaling
- A two-stage queueing network on form postponement supply chain with correlated demands
- Optimal order-replacement policy for a phase-type geometric process model with extreme shocks
- On relative log-concavity and stochastic comparisons
- Compositional strategy synthesis for stochastic games with multiple objectives
- Martingales and the fixation probability of high-dimensional evolutionary graphs
- Optimal mission abort policy for partially repairable heterogeneous systems
- Stability analysis of random systems with Markovian switching and its application
- Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces
- Stochastic reduction method for biological chemical kinetics using time-scale separation
- A functional central limit theorem for Markov additive arrival processes and its applications to queueing systems
- Identifiability issues in dynamic stress-strength modeling
- Networks of \(\cdot /\mathrm{G}/\infty \) queues with shot-noise-driven arrival intensities
- Local martingale solutions to the stochastic two layer shallow water equations with multiplicative white noise
- On stochastic comparisons for population age and remaining lifetime
- Stochastic ordering for populations of manufactured items
- Cost allocation for cooperative inventory consolidation problems
- Reliability analysis of the proportional mean residual life order
- Reliability analysis of a cold standby system with imperfect repair and under Poisson shocks
- On functional limit theorems for the cumulative times in alternating renewal processes
- Combination of mean residual life order with reliability applications
- Analysis of the vectorial capacity of vector-borne diseases using moment-generating functions
- Cox processes for counting by detection
- A further study of the choice between two hedging strategies -- the continuous case
- A general framework for moment-based analysis of genetic data
- Excited random walk in a Markovian environment
- Markov-modulated analysis of a spare parts system with random lead times and disruption risks
- Stabilizing performance in a service system with time-varying arrivals and customer feedback
- Two new stochastic models of the failure process of a series system
- Context-dependent choice as explained by foraging theory
- Bivariate preventive maintenance of systems with lifetimes dependent on a random shock process
- A general inspection and opportunistic replacement policy for one-component systems of variable quality
- Dynamic expediting of an urgent order with uncertain progress
- On the impact of information disclosure on advance reservations: a game-theoretic view
- Conditional inspection and maintenance of a system with two interacting components
- On ordered subpopulations and population mortality at advanced ages
- Computing \((r, Q)\) policy for an inventory system with limited sharable resource
- A research on the prediction of machining accuracy by the deterministic grey dynamic model DGDM(1, 1, 1)
- Finite buffer polling models with routing
- Heavy traffic analysis of open processing networks with complete resource pooling: asymptotic optimality of discrete review policies
- Estimating the market shares of stores based on the shopper's search and purchase behavior
- A stochastic evolutionary model for survival dynamics
- Poisson and non-Poisson properties in appointment-generated arrival processes: the case of an endocrinology clinic
- Extension of Mikhlin multiplier theorem to fractional derivatives and stable processes
- Likelihood ratio tests for and against decreasing in transposition in \(K\times K\times K\) contingency tables
- Group replacement polices for parallel systems whose components have phase distributed failure times
- A geometric process equivalent model for a multistate degenerative system
- Capacity selection under uncertainty with ratio objectives
- A dynamic analysis of protection and environmental policy in a small trading developing country
- Stochastic effects on endemic infection levels of disseminating versus local contacts
- Good buy? Delaying end-of-life purchases
- Optimal pricing and ordering policies for perishable commodities
- Dynamic shortest path in stochastic dynamic networks: Ship routing problem
- A shock model for the maintenance problem of a repairable system
- A model for integer-valued time series with conditional overdispersion
- Pricing schemes for congestion-prone service facilities
- A formal approach to adaptive software: continuous assurance of non-functional requirements
- Convex orders for linear combinations of random variables
- Analysis of \(GI/ M/ n/ n\) queueing system with ordered entry and no waiting line
- Stochastic interest model based on compound Poisson process and applications in actuarial science
- Mean first passage time of preferential random walks on complex networks with applications
- Optimal preventive maintenance for systems having a continuous output and operating in a random environment
- The Log-Lindley distribution as an alternative to the beta regression model with applications in insurance
- Dual-based methods for solving infinite-horizon nonstationary deterministic dynamic programs
- Limit theorems for topological invariants of the dynamic multi-parameter simplicial complex
- Further stability results for random nonlinear systems with stochastic impulses
- Undershoot and order quantity probability distributions in periodic review, reorder point, order-up-to-level inventory systems with continuous demand
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4367948)
