Gut Stopped Random Walks

Limit Theorems and Applications
2. Auflage 2009
ISBN: 978-0-387-87835-5
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 267 Seiten, eBook

Reihe: Springer Series in Operations Research and Financial Engineering

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, queueing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of counters. 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, and to how these results are useful in various applications. This second edition offers 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”.

Zielgruppe

Graduate

Autoren/Hrsg.

Gut, Allan

Inhaltsverzeichnis

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.

Über Autor(innen)

Dr. Allan Gut is a professor of mathematical statistics at Uppsala University in Sweden. He has published many numerous articles, and has authored and co-authored six books, four of which were published by Springer. Three of those books, including the first edition of this book, have sold out, and Probability: A Graduate Course , published in 2005, is selling well.