Primarily an introduction to the theory of stochastic processes at the undergraduate or beginning graduate level, the primary objective of this book is to initiate students in the art of stochastic modelling. However it is motivated by significant applications and progressively brings the student to the borders of contemporary research. Examples are from a wide range of domains, including operations research and electrical engineering. Researchers and students in these areas as well as in physics, biology and the social sciences will find this book of interest.
Зміст
Preface.- 1 Probability Review.- 2 Discrete-Time Markov Chains.- 3 Recurrence and Ergodicity.- 4 Long-Run Behavior.- 5 Discrete-Time Renewal Theory.- 6 Absorption and Passage Times.- 7 Lyapunov Functions and Martingales.- 8 Random Walks on Graphs.- 9 Convergence Rates.- 10 Markov Fields on Graphs.- 11 Monte Carlo Markov Chains.- 12 Non-homogeneous Markov Chains.- 13 Continuous-Time Markov Chains.- 14 Markovian Queueing Theory.- Appendices.- Bibliography.- Index.
Про автора
Pierre Brémaud graduated from the École Polytechnique and obtained his Doctorate in Mathematics from the University of Paris VI and his Ph D from the department of Electrical Engineering and Computer Science at the University of California, Berkeley. He is a major contributor to the theory of stochastic processes and their applications, and has authored or co-authored several reference books and textbooks.
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