Introduction to Random Processes - Springer Series in Soviet Mathematics - Y. A. Rozanov - Knihy - Springer-Verlag Berlin and Heidelberg Gm - 9783642727191 - 06. decembra 2011
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Y. A. Rozanov
Introduction to Random Processes - Springer Series in Soviet Mathematics Softcover Reprint of the Original 1st Ed. 1987 edition

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Today, the theory of random processes represents a large field of mathematics with many different branches, and the task of choosing topics for a brief introduction to this theory is far from being simple. This introduction to the theory of random processes uses mathematical models that are simple, but have some importance for applications. We consider different processes, whose development in time depends on some random factors. The fundamental problem can be briefly circumscribed in the following way: given some relatively simple characteristics of a process, compute the probability of another event which may be very complicated; or estimate a random variable which is related to the behaviour of the process. The models that we consider are chosen in such a way that it is possible to discuss the different methods of the theory of random processes by referring to these models. The book starts with a treatment of homogeneous Markov processes with a countable number of states. The main topic is the ergodic theorem, the method of Kolmogorov's differential equations (Secs. 1-4) and the Brownian motion process, the connecting link being the transition from Kolmogorov's differential-difference equations for random walk to a limit diffusion equation (Sec. 5).

117 pages, biography

Médium Knihy     Paperback Book   (Kniha s mäkkou väzbou a lepeným chrbtom)
Vydané 06. decembra 2011
ISBN13 9783642727191
Vydavatelia Springer-Verlag Berlin and Heidelberg Gm
Strany 117
Rozmery 156 × 234 × 7 mm   ·   195 g
Jazyk Angličtina  
Prekladateľ Rothinger, Birgit

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