Stopped Random Walks

Limit Theorems and Applications
Softcover Nachdruck of hardcover 2. Auflage 2009
ISBN: 978-1-4419-2773-6
Verlag: Springer

Buch, Englisch, 263 Seiten, Previously published in hardcover, Format (B × H): 178 mm x 254 mm, Gewicht: 532 g

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 number of steps. Examples are sequential analysis, queueing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of counters. 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

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

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.