An Introduction to Stochastic Modeling
- Mark Pinsky
- Samuel Karlin, Stanford University and The Weizmann Institute of Science
- Realistic applications from a variety of disciplines integrated throughout the text, including more biological applications
- Plentiful, completely updated problems
- Completely updated and reorganized end-of-chapter exercise sets, 250 exercises with answers
- New chapters of stochastic differential equations and Brownian motion and related processes
- Additional sections on Martingale and Poisson process
Upper division undergraduate and graduate-level courses in stochastic processes and stochastic modeling, offered in statistics and mathematics departments at all major universities.
- Published: December 2010
- Imprint: ACADEMIC PRESS
- ISBN: 978-0-12-381416-6
PRAISE FOR THE SECOND EDITION
This book is a valuable resource for anyone studying combustion processes."
--David L. Liscinsky, United Technologist Research Center, in AIAA JOURNAL This is an excellent text-book ... The narrative is clear, careful and detailed but, at the same time, designed to draw (not to bore) the reader in. The main strengths, in my opinion, are the wealth of convincing applications, which are discussed at some, but not too much length after each bit of theoretical development, and the large number of exercises given at the ends of sections, not just at the ends of chapters."
--Martin Crowder, University of Surrey, Guildford, in THE STATISTICIAN
Table of ContentsIntroduction
Conditional Probability and Conditional Expectation
Markov Chains: Introduction
The Long Run Behavior of Markov Chains
Continuous Time Markov Chains
Brownian Motion and Related Processes
Characteristic Functions and Their Applications