Bøger i Stochastic Modelling and Applied Probability serien

The book deals mainly with three problems involving Gaussian stationary processes. The second problem mentioned above is closely related with problems involving ergodic theory of Gaussian dynamic systems as well as prediction theory of stationary processes.

Focusing on switching diffusion processes that involve both continuous dynamics and discrete events, this comprehensive study moves from basic properties such as Feller and strong Feller to the numerical solutions of switching diffusions and stability.

In wntmg this monograph my aim has been to present a "geometric" approach to the structural synthesis of multivariable control systems that are linear, time-invariant and of finite dynamic order.

As more applications are found, interest in Hidden Markov Models continues to grow.

This book analyzes mathematical models of time-dependent physical phenomena on microscopic, macroscopic and mesoscopic levels. It provides a rigorous derivation of each level from the preceding one and examines the resulting mesoscopic equations in detail.

Devoted to a systematic exposition of some recent developments in the theory of discrete-time Markov control processes, the text is mainly confined to MCPs with Borel state and control spaces.

This book provides a broad treatment of sampling-based computational methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. General methods and model-specific algorithms are discussed.

This accessible book aims to collect in a single volume the essentials of stochastic networks. Written by leading authors in the field, this book is meant to be used as a reference or supplementary reading by practitioners in operations research, computer systems, communications networks, production planning, and logistics.

Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development.

This book on mathematical, statistical and stochastic models in reliability will help analysts formulate general failure models, establish formulae for computing performance measures, and determine how to identify optimal replacement policies.

Beginning with Jackson networks and ending with spatial queuing systems, this book describes several basic stochastic network processes, with the focus on network processes that have tractable expressions for the equilibrium probability distribution of the numbers of units at the stations.

Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market.