Stopped Random Walks: Limit Theorems and Applications

by Allan Gut

Classical probability theory provides information about random walks after a fixed number of steps. For applications, however, it is more natural to consider random walks evaluated after a random number of steps. Examples are sequential analysis, queueing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of counters. Stopped Random Walks: Limit Theorems and Applications shows how this theory can be used to prove limit theorems for renewal counting processes, first passage time processes, and certain two-dimensional random walks, and to how these results are useful in various applications.

This second edition offers updated content and an outlook on further results, extensions and generalizations. A new chapter examines nonlinear renewal processes in order to present the analagous theory for perturbed random walks, modeled as a random walk plus "noise".

• Format: Paperback
• Language: English
• ISBN: 1441927735
• ISBN13: 9781441927736
• Release Date: December 2010
• Publisher: Springer
• Length: 263 Pages
• Weight: 1.07 lbs.
• Dimensions: 0.8" x 7.0" x 9.9"