Stochastic processes. An introduction
The book has evolved from courses given for undergraduate students taking joint degrees in mathematics or statistics and another subject. It introduces stochastic processes with a strong emphasis on techniques, illustrative examples and applications. The style is rather informal. A basic knowledge of calculus, matrix algebra and a first course in probability are the necessary prerequisites for the reader.NEWLINENEWLINENEWLINEThe book consists of ten chapters and an appendix. Each chapter ends with problems, answers to selected problems can be found in the appendix. Altogether there are more than 250 problems and worked examples in the book. The first chapter provides a reference of basic probability. Then each chapter is devoted to either a special type of stochastic processes or a problem and its aspects. Discrete processes are treated in chapters two to four, the topics are gambler's ruin, random walks and Markov chains. Continuous processes are considered in the chapters five to nine, where the topics are Poisson processes, birth and death processes, queues, reliability and renewal and branching processes. The last chapter also includes sections on martingales and a simple epidemic, described by a differential-difference equation. Chapter 10 consists of a set of problems (relevant to each of the preceding chapters), where the task is to write computer programs for simulation purposes. The authors provide Mathematica notebooks for these problems at their website.
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