An Introduction to Probability & Stochastic Processes

By Andrew P. Sage and James L. Melsa

Book Overview

This text offers students valuable tools for the description and analysis of random effects in complex systems. The treatment emphasizes concepts with practical value and illustrates their application... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 0486490998
• ISBN13: 9780486490991
• Release Date: September 2013
• Publisher: Dover Publications
• Length: 403 Pages
• Weight: 1.10 lbs.
• Dimensions: 0.9" x 5.9" x 8.9"

Customer Reviews

Accurate and exhaustive introduction to the field...

Starting from the basic Probability concepts presented in an unformal (yet rigourous) way, this book moves swiftly on to some of the central concepts and results of the theory of stochastic processes. Basic (but fundamental) concepts like stochastic convergence, stationarity, stochastic differentiation and integration are presented in a rigourous yet mathematically accessible way. The latter chapters focus on some of the most applicable parts of the theory of stochastic processes: Response of linear systems to stochastic inputs, Gaussean processes, the Wiener process, stochastic differential equations and response of non-linear systems. The pre-requisites are exceptionally low: basic calculus and matrix theory are sufficient to get you going. However I feel that some knowledge of measure theory (which I lack...) would vastly help in grasping some of the more advanced chapters.