應用隨機過程概率模型導論

出版時間:2006-3  出版社:人民郵電出版社  作者:羅斯  頁數(shù):755  字數(shù):1235000  
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內(nèi)容概要

  本書實例豐富,涉及多學科各種概率模型。主要內(nèi)容有隨機變量、條件概率及條件期望、離散及連續(xù)馬爾科夫鏈、指數(shù)分布、泊松過程、布朗運動及平穩(wěn)過程、更新理論及排隊論等,最后介紹了隨機模擬。本書寫得極其生動和直觀,并附有大量的不同領域的習題和實用的例子。  本書可作為概率論與統(tǒng)計、計算機科學、保險學、物理學和社會科學、生命科學、管理科學與工程學專業(yè)隨機過程基礎課教材。

作者簡介

Sheldon M.Ross,國際知名統(tǒng)計學家,加州大學伯克利分校工業(yè)工程與運籌系教授。畢業(yè)于斯坦福大學統(tǒng)計系。研究領域包括:隨機模型、仿真模擬、統(tǒng)計分析、金融數(shù)學等。Ross教授是多本暢銷數(shù)學和統(tǒng)計教材的作者。

書籍目錄

1 Introduction to Probability Theory 11.1 Introduction 11.2 Sample Space and Events 11.3 Probabilities Defined on Events 41.4 Conditional Probabilities 71.5 Independent Events 101.6 Bayes' Formula 12Exercises 15References 212 Random Variables 232.1 Random Variables 232.2 Discrete Random Variables 272.3 Continuous Random Variables 342.4 Expectation of a Random Variable 382.5 Jointly Distributed Random Variables 432.6 Moment Generating Functions 642.7 Limit Theorems 772.8 Stochastic Processes 83Exercises 85References 963 Conditional Probability and Conditional Expectation 973.1 Introduction 973.2 The Discrete Case 973.3 The Continuous Case 1023.4 Computing Expectations by Conditioning 1053.5 Computing Probabilities by Conditioning 1193.6 Some Applications Exercises 136Exercises 1614 Markov Chains 1814.1 Introduction 1814.2 Chapman-Kolmogorov Equations 1854.3 Classification of States 1894.4 Limiting Probabilities 2004.5 Some Applications 2134.6 Mean Time Spent in Transient States 2264.7 Branching Processes 2284.8 Time Reversible Markov Chains 2324.9 Markov Chain Monte Carlo Methods 2434.10 Markov Decision Processes 248Exercises 252References 2685 The Exponential Distribution and the Poisson Process 2695.1 Introduction 2695.2 The Exponential Distribution 2705.3 The Poisson Process 2885.4 Generalizations of the Poisson Process 316Exercises 330References 3486 Continuous-Time Markov Chains 3496.1 Introduction 3496.2 Continuous-Time Markov Chains 3506.3 Birth and Death Processes 3526.4 The Transition Probability Function Pij (t) 3596.5 Limiting Probabilities 3686.6 Time Reversibility 3766.7 Uniformization 3846.8 Computing the Transition Probabilities 388Exercises 390References 3997 Renewal Theory and Its Applications 4017.1 Introduction 4017.2 Distribution of N(t) 4037.3 Limit Theorems and Their Applications 4077.4 Renewal Reward Processes 4167.5 Regenerative Processes 4257.6 Semi-Markov Processes 4347.7 The Inspection Paradox 4377.8 Computing the Renewal Function 4407.9 Applications to Patterns 4437.10 The Insurance Ruin Problem 455Exercises 460References 4728 Queueing Theory 4758.1 Introduction 4758.2 Preliminaries 4768.3 Exponential Models 4808.4 Network of Queues 4968.5 The System M/G/1 5078.6 Variations on the M/G/1 5108.7 The Model G/M/1 5198.8 A Finite Source Model 5258.9 Multiserver Queues 528Exercises 534References 5469 Reliability Theory 5479.1 Introduction 5479.2 Structure Functions 5479.3 Reliability of Systems of Independent Components 5549.4 Bounds on the Reliability Function 5599.5 System Life as a Function of Component Lives 5719.6 Expected System Lifetime 5809.7 Systems with Repair 586Exercises 593References 60010 Brownian Motion and Stationary Processes 60110.1 Brownian Motion 60110.2 Hitting Times, Maximum Variable, and the Gambler's Ruin Problem 60510.3 Variations on Brownian Motion 60710.4 Pricing Stock Options 60810.5 White Noise 62010.6 Gaussian Processes 62210.7 Stationary andWeakly Stationary Processes 62510.8 Harmonic Analysis of Weakly Stationary Processes 630Exercises 633References 63811 Simulation 63911.1 Introduction 63911.2 General Techniques for Simulating Continuous Random Variables 64411.3 Special Techniques for Simulating Continuous Random Variables 65311.4 Simulating from Discrete Distributions 66111.5 Stochastic Processes 66811.6 Variance Reduction Techniques 67911.7 Determining the Number of Runs 69611.8 Coupling from the Past 696Exercises 699References 707Appendix: Solutions to Starred Exercises 709Index 749

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