An Introduction to Stochastic Processes

By Edward P. C. Kao

Book Overview

A vigorous response to the challenges of incorporating computer use into the teaching and learning of stochastic processes, this book takes an applications- and computer-oriented approach rather than the standard formal and mathematically rigorous approach. It is suitable for advanced undergraduates and beginning graduate students in operations research, management science, finance, engineering, statistics, computer science, and applied mathematics. Prerequisites are intermediate-level calculus, elementary linear algebra, and an introductory course in probability with an emphasis in operational skills on conditioning.
The first chapter reviews some preliminary materials, including transform methods and basic concepts in mathematical analysis. Subsequent chapters explore variants of Poisson processes, renewal processes, discrete-time and continuous-time Markov chains, Markov renewal and semi-regenerative processes, and Brownian motion and other diffusion processes. Each chapter concludes with problems, bibliographic notes, references, and an Appendix. A Solutions Manual is available to instructors upon request.

• Format: Paperback
• Language: English
• ISBN: 0486837920
• ISBN13: 9780486837925
• Release Date: December 2019
• Publisher: Dover Publications
• Length: 448 Pages
• Weight: 1.40 lbs.
• Dimensions: 0.9" x 5.9" x 8.9"

Customer Reviews

Recommended for impatient beginners

Advantages: (1) Written in a clear language, concise and straight to the point. Book is of the right thickness -- not too thin and not too thick. (2) Plenty of examples. (3) Good organisation and great typesetting. Disadvantages: (1) Sloppy at places, e.g. the sudden introduction of certain theorems without elaboration. In general good for beginners who want to get up to speed fast.

concise and with good Matlab examples

It is testbook for my first course in stochastic process. it is concise with not much trivial explanation. It is particularly good with executable matlab files so you can run the examples.