A First Course in Stochastic Processes,
Edition 2
By Samuel Karlin and Howard E. Taylor

Publication Date: 28 Mar 1975

The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other.

The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processes not dealt with in the first edition, notably martingales, renewal and fluctuation phenomena associated with random sums, stationary stochastic processes, and diffusion theory.

About the author
By Samuel Karlin, Stanford University and The Weizmann Institute of Science and Howard E. Taylor, U.S. Geological Survey, Boulder, Colorado, U.S.A.
Table of Contents
Preface. Elements of Stochastic Processes. Markov Chains. The Basic Limit Theorem of Markov Chains and Applications. Classical Examples of Continuous Time Markov Chains. Renewal Processes. Martingales. Brownian Motion. Branching Processes. Stationary Processes. Review of Matrix Analysis. Index.
Book details
ISBN: 9780123985521
Page Count: 576
Retail Price : £99.99
Undergraduate and graduate students studying mathematics