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ISBN:0387878343
Author: Allan Gut
ISBN13: 978-0387878348
Title: Stopped Random Walks: Limit Theorems and Applications (Springer Series in Operations Research and Financial Engineering)
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ePUB size: 1421 kb
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Language: English
Category: Mathematics
Publisher: Springer; 2nd ed. 2009 edition (February 27, 2009)
Pages: 263

Stopped Random Walks: Limit Theorems and Applications (Springer Series in Operations Research and Financial Engineering) by Allan Gut



Limit Theorems and Applications. With its concise blend of material and over 300 bibliographic references, the book provides a unified and fairly complete treatment of the area. The book may be used in the classroom as part of a course on "probability theory", "random walks" or "random walks and renewal processes", as well as for self-study.

Allan Gut. Download (pdf, . 8 Mb) Donate Read. Epub FB2 mobi txt RTF. Converted file can differ from the original. If possible, download the file in its original format.

For applications, however, it is more natural to consider random walks evaluated after a random number of steps. Stopped Random Walks: Limit Theorems and Applications shows how this theory can be used to prove limit theorems for renewal counting processes, first passage time processes, and certain two-dimensional random walks, as well as how these results may be used in a variety of applications.

File: PDF, . 8 MB. Читать онлайн. We call a random walk thus indexed a stopped random walk. Since the other limit theorems hold for random walks indexed by more general families of random variables, it follows, as an unfortunate consequence, that the title of this book is a little too restrictive; on the other hand, from the point of view of applications it is natural that the stopping procedure does not depend on the future.

263 p. - ISBN: 978-0387878348, e-ISBN: 978-0387878355. Classical probability theory provides information about random walks after a fixed number of steps. For applications, however, it is more natural to consider random walks evaluated after a random number of steps. Examples are sequential analysis, queuing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of contours

Regular and semi-regular polytopes. Indifference Pricing: Theory and Applications (Princeton Series in Financial Engineering). Publisher: Springer. Publication Date: 2009. Limit Theorems for Stopped Random Walks. Renewal Processes and Random Walks. Renewal Theory for Random Walks with Positive Drift. Generalizations and Extensions. Functional Limit Theorems. Perturbed Random Walks. Appendix A: Some Facts from Probability Theory. Appendix B: Some Facts about Regularly Varying Functions. Examples are sequential analysis, queuing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of contours. Stopped Random Walks: Limit Theorems and Applications shows how this theory can be used to prove limit theorems for renewal counting processes, first passage time processes, and certain two-dimenstional random walks, and to how these results are useful in various applications.

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Classical probability theory provides information about random walks after a fixed number of steps. For applications, however, it is more natural to consider random walks evaluated after a random number of steps. Examples are sequential analysis, queuing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of contours. Stopped Random Walks: Limit Theorems and Applications shows how this theory can be used to prove limit theorems for renewal counting processes, first passage time processes, and certain two-dimenstional random walks, and to how these results are useful in various applications.

This second editionoffers updated content and an outlook on further results, extensions and generalizations.A new chapter examines nonlinear renewal processes in order to present the analagous theory for perturbed random walks, modeled as a random walk plus "noise."