## Stationary Stochastic Processes for Scientists and Engineers

**Author**: Georg Lindgren,Holger Rootzen,Maria Sandsten

**Publisher:**CRC Press

**ISBN:**1466586192

**Category:**Mathematics

**Page:**330

**View:**1129

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Stochastic processes are indispensable tools for development and research in signal and image processing, automatic control, oceanography, structural reliability, environmetrics, climatology, econometrics, and many other areas of science and engineering. Suitable for a one-semester course, Stationary Stochastic Processes for Scientists and Engineers teaches students how to use these processes efficiently. Carefully balancing mathematical rigor and ease of exposition, the book provides students with a sufficient understanding of the theory and a practical appreciation of how it is used in real-life situations. Special emphasis is on the interpretation of various statistical models and concepts as well as the types of questions statistical analysis can answer. The text first introduces numerous examples from signal processing, economics, and general natural sciences and technology. It then covers the estimation of mean value and covariance functions, properties of stationary Poisson processes, Fourier analysis of the covariance function (spectral analysis), and the Gaussian distribution. The book also focuses on input-output relations in linear filters, describes discrete-time auto-regressive and moving average processes, and explains how to solve linear stochastic differential equations. It concludes with frequency analysis and estimation of spectral densities. With a focus on model building and interpreting the statistical concepts, this classroom-tested book conveys a broad understanding of the mechanisms that generate stationary stochastic processes. By combining theory and applications, the text gives students a well-rounded introduction to these processes. To enable hands-on practice, MATLAB® code is available online.

## Stochastic Processes in Science, Engineering and Finance

**Author**: Frank Beichelt

**Publisher:**CRC Press

**ISBN:**9781420010459

**Category:**Mathematics

**Page:**440

**View:**2623

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This book presents a self-contained introduction to stochastic processes with emphasis on their applications in science, engineering, finance, computer science, and operations research. It provides theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates their application by analyzing numerous practical examples. The treatment assumes few prerequisites, requiring only the standard mathematical maturity acquired by undergraduate applied science students. It includes an introductory chapter that summarizes the basic probability theory needed as background. Numerous exercises reinforce the concepts and techniques discussed and allow readers to assess their grasp of the subject. Solutions to most of the exercises are provided in an appendix. While focused primarily on practical aspects, the presentation includes some important proofs along with more challenging examples and exercises for those more theoretically inclined. Mastering the contents of this book prepares readers to apply stochastic modeling in their own fields and enables them to work more creatively with software designed for dealing with the data analysis aspects of stochastic processes.

## Stationary Stochastic Processes

*Theory and Applications*

**Author**: Georg Lindgren

**Publisher:**CRC Press

**ISBN:**1466557796

**Category:**Mathematics

**Page:**375

**View:**6482

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Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.

## Stochastic Processes and Their Applications

**Author**: Frank Beichelt,L. Paul Fatti

**Publisher:**CRC Press

**ISBN:**9780415272322

**Category:**Mathematics

**Page:**338

**View:**4606

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This book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.

## Random Differential Equations in Science and Engineering

**Author**: Soong

**Publisher:**Academic Press

**ISBN:**0080956122

**Category:**Computers

**Page:**326

**View:**8821

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Random Differential Equations in Science and Engineering

## Discrete Stochastic Processes

**Author**: Robert G. Gallager

**Publisher:**Springer Science & Business Media

**ISBN:**146152329X

**Category:**Technology & Engineering

**Page:**271

**View:**5246

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Stochastic processes are found in probabilistic systems that evolve with time. Discrete stochastic processes change by only integer time steps (for some time scale), or are characterized by discrete occurrences at arbitrary times. Discrete Stochastic Processes helps the reader develop the understanding and intuition necessary to apply stochastic process theory in engineering, science and operations research. The book approaches the subject via many simple examples which build insight into the structure of stochastic processes and the general effect of these phenomena in real systems. The book presents mathematical ideas without recourse to measure theory, using only minimal mathematical analysis. In the proofs and explanations, clarity is favored over formal rigor, and simplicity over generality. Numerous examples are given to show how results fail to hold when all the conditions are not satisfied. Audience: An excellent textbook for a graduate level course in engineering and operations research. Also an invaluable reference for all those requiring a deeper understanding of the subject.

## Random Perturbation Methods with Applications in Science and Engineering

**Author**: Anatoli V. Skorokhod,Frank C. Hoppensteadt,Habib D. Salehi

**Publisher:**Springer Science & Business Media

**ISBN:**0387224467

**Category:**Mathematics

**Page:**490

**View:**597

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This book develops methods for describing random dynamical systems, and it illustrats how the methods can be used in a variety of applications. Appeals to researchers and graduate students who require tools to investigate stochastic systems.

## Applied Probability and Stochastic Processes

**Author**: Frank Beichelt

**Publisher:**CRC Press

**ISBN:**148225767X

**Category:**Business & Economics

**Page:**562

**View:**5765

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Applied Probability and Stochastic Processes, Second Edition presents a self-contained introduction to elementary probability theory and stochastic processes with a special emphasis on their applications in science, engineering, finance, computer science, and operations research. It covers the theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates applications through the analysis of numerous practical examples. The author draws on his 50 years of experience in the field to give your students a better understanding of probability theory and stochastic processes and enable them to use stochastic modeling in their work. New to the Second Edition Completely rewritten part on probability theory—now more than double in size New sections on time series analysis, random walks, branching processes, and spectral analysis of stationary stochastic processes Comprehensive numerical discussions of examples, which replace the more theoretically challenging sections Additional examples, exercises, and figures Presenting the material in a student-friendly, application-oriented manner, this non-measure theoretic text only assumes a mathematical maturity that applied science students acquire during their undergraduate studies in mathematics. Many exercises allow students to assess their understanding of the topics. In addition, the book occasionally describes connections between probabilistic concepts and corresponding statistical approaches to facilitate comprehension. Some important proofs and challenging examples and exercises are also included for more theoretically interested readers.

## Grundbegriffe der Wahrscheinlichkeitsrechnung

**Author**: A. Kolomogoroff

**Publisher:**Springer-Verlag

**ISBN:**3642498884

**Category:**Mathematics

**Page:**62

**View:**5992

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Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.

## Stochastic Calculus

*Applications in Science and Engineering*

**Author**: Mircea Grigoriu

**Publisher:**Springer Science & Business Media

**ISBN:**9780817642426

**Category:**Mathematics

**Page:**774

**View:**6385

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"This self-contained text may be used for several graduate courses and as an important reference resource for applied scientists interested in analytical and numerical methods for solving stochastic problems."--BOOK JACKET.

## Stochastic Processes in Engineering Systems

**Author**: E. Wong,B. Hajek

**Publisher:**Springer Science & Business Media

**ISBN:**1461250609

**Category:**Mathematics

**Page:**361

**View:**3597

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This book is a revision of Stochastic Processes in Information and Dynamical Systems written by the first author (E.W.) and published in 1971. The book was originally written, and revised, to provide a graduate level text in stochastic processes for students whose primary interest is its applications. It treats both the traditional topic of sta tionary processes in linear time-invariant systems as well as the more modern theory of stochastic systems in which dynamic structure plays a profound role. Our aim is to provide a high-level, yet readily acces sible, treatment of those topics in the theory of continuous-parameter stochastic processes that are important in the analysis of information and dynamical systems. The theory of stochastic processes can easily become abstract. In dealing with it from an applied point of view, we have found it difficult to decide on the appropriate level of rigor. We intend to provide just enough mathematical machinery so that important results can be stated PREFACE vi with precision and clarity; so much ofthe theory of stochastic processes is inherently simple if the suitable framework is provided. The price of providing this framework seems worth paying even though the ul timate goal is in applications and not the mathematics per se.

## Data Analysis and Statistics for Geography, Environmental Science, and Engineering

**Author**: Miguel F. Acevedo

**Publisher:**CRC Press

**ISBN:**1466592214

**Category:**Mathematics

**Page:**557

**View:**5921

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Providing a solid foundation for twenty-first-century scientists and engineers, Data Analysis and Statistics for Geography, Environmental Science, and Engineering guides readers in learning quantitative methodology, including how to implement data analysis methods using open-source software. Given the importance of interdisciplinary work in sustainability, the book brings together principles of statistics and probability, multivariate analysis, and spatial analysis methods applicable across a variety of science and engineering disciplines. Learn How to Use a Variety of Data Analysis and Statistics Methods Based on the author’s many years of teaching graduate and undergraduate students, this textbook emphasizes hands-on learning. Organized into two parts, it allows greater flexibility using the material in various countries and types of curricula. The first part covers probability, random variables and inferential statistics, applications of regression, time series analysis, and analysis of spatial point patterns. The second part uses matrix algebra to address multidimensional problems. After a review of matrices, it delves into multiple regression, dependent random processes and autoregressive time series, spatial analysis using geostatistics and spatial regression, discriminant analysis, and a variety of multivariate analyses based on eigenvector methods. Build from Fundamental Concepts to Effective Problem Solving Each chapter starts with conceptual and theoretical material to give a firm foundation in how the methods work. Examples and exercises illustrate the applications and demonstrate how to go from concepts to problem solving. Hands-on computer sessions allow students to grasp the practical implications and learn by doing. Throughout, the computer examples and exercises use seeg and RcmdrPlugin.seeg, open-source R packages developed by the author, which help students acquire the skills to implement and conduct analysis and to analyze the results. This self-contained book offers a unified presentation of data analysis methods for more effective problem solving. With clear, easy-to-follow explanations, the book helps students to develop a solid understanding of basic statistical analysis and prepares them for learning the more advanced and specialized methods they will need in their work.

## Engineering applications of stochastic processes

*theory, problems and solutions*

**Author**: Alexander Zayezdny,Daniel Tabak,Dov Wulich,Peter Smith

**Publisher:**Research Studie

**ISBN:**N.A

**Category:**Science

**Page:**509

**View:**3572

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A concise, systematic treatment of probabilistic calculations of the sort used in electronic communication, radar, and automatic control. Appropriate as a text in stochastic processes, statistical communication methods, or automatic control. First section discusses random variables. Second section deals with random processes, and response of linear systems to random processes. Each theoretical topic is followed by a description of the associated computational procedures. Chapters contain problems, with solutions.

## Stochastic Tools in Mathematics and Science

**Author**: Alexandre J Chorin,Ole H Hald

**Publisher:**Springer Science & Business Media

**ISBN:**9780387280806

**Category:**Mathematics

**Page:**148

**View:**9136

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This introduction to probability-based modeling covers basic stochastic tools used in physics, chemistry, engineering and the life sciences. Topics covered include conditional expectations, stochastic processes, Langevin equations, and Markov chain Monte Carlo algorithms. The applications include data assimilation, prediction from partial data, spectral analysis and turbulence. A special feature is the systematic analysis of memory effects.

## Stochastic Processes

**Author**: Jyotiprasad Medhi

**Publisher:**New Age International

**ISBN:**9788122405491

**Category:**Procesos estocásticos

**Page:**598

**View:**3789

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Aims At The Level Between That Of Elementary Probability Texts And Advanced Works On Stochastic Processes. The Pre-Requisites Are A Course On Elementary Probability Theory And Statistics, And A Course On Advanced Calculus. The Theoretical Results Developed Have Been Followed By A Large Number Of Illustrative Examples. These Have Been Supplemented By Numerous Exercises, Answers To Most Of Which Are Also Given. It Will Suit As A Text For Advanced Undergraduate, Postgraduate And Research Level Course In Applied Mathematics, Statistics, Operations Research, Computer Science, Different Branches Of Engineering, Telecommunications, Business And Management, Economics, Life Sciences And So On. A Review Of The Book In American Mathematical Monthly (December 82) Gives This Book Special Positive Emphasis As A Textbook As Follows: 'Of The Dozen Or More Texts Published In The Last Five Years Aimed At The Students With A Background Of A First Course In Probability And Statistics But Not Yet To Measure Theory, This Is The Clear Choice. An Extremely Well Organized, Lucidly Written Text With Numerous Problems, Examples And Reference T* (With T* Where T Denotes Textbook And * Denotes Special Positive Emphasis). The Current Enlarged And Revised Edition, While Retaining The Structure And Adhering To The Objective As Well As Philosophy Of The Earlier Edition, Removes The Deficiencies, Updates The Material And The References And Aims At A Border Perspective With Substantial Additions And Wider Coverage.

## Fundamentals of Linear Systems for Physical Scientists and Engineers

**Author**: N.N. Puri

**Publisher:**CRC Press

**ISBN:**9781439811580

**Category:**Technology & Engineering

**Page:**899

**View:**4482

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Thanks to the advent of inexpensive computing, it is possible to analyze, compute, and develop results that were unthinkable in the '60s. Control systems, telecommunications, robotics, speech, vision, and digital signal processing are but a few examples of computing applications. While there are many excellent resources available that focus on one or two topics, few books cover most of the mathematical techniques required for a broader range of applications. Fundamentals of Linear Systems for Physical Scientists and Engineers is such a resource. The book draws from diverse areas of engineering and the physical sciences to cover the fundamentals of linear systems. Assuming no prior knowledge of complex mathematics on the part of the reader, the author uses his nearly 50 years of teaching experience to address all of the necessary mathematical techniques. Original proofs, hundreds of examples, and proven theorems illustrate and clarify the material. An extensive table provides Lyapunov functions for differential equations and conditions of stability for the equilibrium solutions. In an intuitive, step-by-step manner, the book covers a breadth of highly relevant topics in linear systems theory from the introductory level to a more advanced level. The chapter on stochastic processes makes it invaluable for financial engineering applications. Reflecting the pressures in engineering education to provide compact yet comprehensive courses of instruction, this book presents essential linear system theoretic concepts from first principles to relatively advanced, yet general, topics. The book’s self-contained nature and the coverage of both linear continuous- and discrete-time systems set it apart from other texts.

## Adventures in Stochastic Processes

**Author**: Sidney I. Resnick

**Publisher:**Springer Science & Business Media

**ISBN:**1461203872

**Category:**Mathematics

**Page:**626

**View:**9115

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Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.

## Stochastic Differential Equations in Science and Engineering

*(With CD-ROM)*

**Author**: Douglas Henderson,Peter Plaschko

**Publisher:**World Scientific

**ISBN:**9814480533

**Category:**Science

**Page:**240

**View:**6527

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' Traditionally, non-quantum physics has been concerned with deterministic equations where the dynamics of the system are completely determined by initial conditions. A century ago the discovery of Brownian motion showed that nature need not be deterministic. However, it is only recently that there has been broad interest in nondeterministic and even chaotic systems, not only in physics but in ecology and economics. On a short term basis, the stock market is nondeterministic and often chaotic. Despite its significance, there are few books available that introduce the reader to modern ideas in stochastic systems. This book provides an introduction to this increasingly important field and includes a number of interesting applications. Contents:Stochastic Variables and Stochastic ProcessesStochastic Differential EquationsThe Fokker–Planck EquationAdvanced TopicsNumerical Solutions of Ordinary Stochastic Differential Equations Readership: Researchers and graduate students in physics, chemistry, and engineering. Keywords:Stochastic Differential Equations;Probability;Chaos;Nonlinear DynamicsKey Features:Each chapter contains a set of exercises to aid understanding of the materialReviews:“The readers will benefit from the illustrations of complex applied phenomena which are well described by using SDEs … At the end of each chapter there are useful exercises with detailed solutions or hints … Anybody working in the area of, or dealing with, stochastic processes, in particular with SDEs, will find interesting topics and/or illustrations.”Zentralblatt MATH '

## Modeling and Analysis of Stochastic Systems

**Author**: Vidyadhar G. Kulkarni

**Publisher:**CRC Press

**ISBN:**9780412049910

**Category:**Business & Economics

**Page:**634

**View:**5789

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This practical text aims to enable students in engineering, business, operations research, public policy, and computer science to model and analyze stochastic systems. The major classes of useful stochastic processes - discrete and continuous time Markov chains, renewal processes, regenerative processes, and Markov regenerative processes - are presented, with an emphasis on modelling real-life situations with stochastic elements and analyzing the resulting stochastic model.

## A Course in Stochastic Processes

*Stochastic Models and Statistical Inference*

**Author**: Denis Bosq,Hung T. Nguyen

**Publisher:**Springer Science & Business Media

**ISBN:**9401587698

**Category:**Mathematics

**Page:**354

**View:**5259

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This text is an Elementary Introduction to Stochastic Processes in discrete and continuous time with an initiation of the statistical inference. The material is standard and classical for a first course in Stochastic Processes at the senior/graduate level (lessons 1-12). To provide students with a view of statistics of stochastic processes, three lessons (13-15) were added. These lessons can be either optional or serve as an introduction to statistical inference with dependent observations. Several points of this text need to be elaborated, (1) The pedagogy is somewhat obvious. Since this text is designed for a one semester course, each lesson can be covered in one week or so. Having in mind a mixed audience of students from different departments (Math ematics, Statistics, Economics, Engineering, etc.) we have presented the material in each lesson in the most simple way, with emphasis on moti vation of concepts, aspects of applications and computational procedures. Basically, we try to explain to beginners questions such as "What is the topic in this lesson?" "Why this topic?", "How to study this topic math ematically?". The exercises at the end of each lesson will deepen the stu dents' understanding of the material, and test their ability to carry out basic computations. Exercises with an asterisk are optional (difficult) and might not be suitable for homework, but should provide food for thought.