随机过程初级教程

作者简介

《随机过程初级教程》系统论述随机过程的基本理论和方法，理论与实际应用并重。书中主要内容有：马尔可夫链、连续时间马尔可夫链、更新过程、鞅论、布朗运动、分支过程和平稳随机过程。

书籍目录

Chapter 1ELEMENTS OF STOCHASTIC PROCESSES 1.  Review of Basic Terminology and Properties of Random Variables and Distribution Functions 2.  Two Simple Examples of Stochastic Processes 3.  Classification of General Stochastic Processes 4.  Defining a Stochastic Process     Elementary Problems              Problems     Notes         ReferencesChapter 2MARKOV CHAINS 1.  Definitions                       2.  Examples of Markov Chains     3.  Transition Probability Matrices of a Markov Chain 4．Classification of States of a Markov Chain 5．Recurrence 6．Examples of Recurrent Markov Chains 7．More On Recurrence    Elementary Problems    Problems    Notes    ReferencesChapter 3THE BASIC LIMIT THEOREM 0F MARKOV CHAINS AND APPLICATl0NS 1．Discrete Renewal Equation 2．Proof of Theorem 1.1 3．Absorption Probabilities 4．Cfiteria for Recurrence 5．A Queuei~g Example 6．Another Queueing Model 7．Random Walk    Elementary Problems    Problems    Notes    RererenceChapter 4CLASSICAL EXAMPLES 0F CONTINUOUS TIME MARKOV CHAINS  1．General Pure Birth Processes and Poisson Processes  2．More about Poisson Processes  3．A Counter Model  4．Birth and Death Processes  5．Differential Equations of Birth and Death Processes  6．Examples of Birth and Death Processes  7．Birth and Death Processes with Absorbing States  8．Finite State Continuous Time Markov Chains     Elementary Problems     Problems     Notes     ReferencesChapter 5RENEWAL PROCESSESChapter 6MARTINGALESChapter 7 BROWNIAN MOTIONChapter 8BRANCHING PROCESSESChapter 9STATIONARY PROCESSESREVIEW OF MATRIX ANALYSISIndex

内容概要

Samuel Karlin，斯坦福大学荣休教授，国际著名的应用概率学家，美国科学院院士，数理统计学会会士。1987年获冯·诺伊曼奖。在生灭过程中计算平稳分布的Karlin-MeGregor定理即以他的名字命名。

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