This book develops systematically and rigorously, yet in an expository and lively manner, the evolution of general random processes and their large time properties such as transience, recurrence, and convergence to steady states. The emphasis is on the most important classes of these processes from the viewpoint of theory as well as applications, namely, Markov processes.
The book features very broad coverage of the most applicable aspects of stochastic processes, including sufficient material for self-contained courses on
• random walk in one and multiple dimensions;
• Markov chains in discrete and continuous times, including birth-death processes;
• Brownian motion and diffusions;
• stochastic optimization; and
• stochastic differential equations.
- Published:2009ISBN:978-0-89871-689-4eISBN:978-0-89871-899-7Book Series Name:Classics in Applied MathematicsBook Code:CL61Book Pages:xiv + 672