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60J10 Probability theory and stochastic processes -- Markov processes -- Markov chains (discrete-time Markov processes on discrete state spaces)

60Gxx Probability theory and stochastic processes -- Stochastic processes

60J27 Probability theory and stochastic processes -- Markov processes -- Continuous-time Markov processes on discrete state spaces

60J65 Probability theory and stochastic processes -- Markov processes -- Brownian motion En-ligne: Springerlink | Zentralblatt

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Publisher’s description: The book presents an introduction to stochastic processes including Markov chains, birth-and-death processes, Brownian motion and autoregressive models. The emphasis is on simplifying both the underlying mathematics and the conceptual understanding of random processes. In particular, non-trivial computations are delegated to a computer-algebra system, specifically Maple (although other systems can be easily substituted). Moreover, great care is taken to properly introduce the required mathematical tools (such as difference equations and generating functions) so that even students with only a basic mathematical background will find the book self-contained. Many detailed examples are given throughout the text to facilitate and reinforce learning.

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