Stopped random walks : limit theorems and applications

書誌事項

Stopped random walks : limit theorems and applications

Allan Gut

(Springer series in operations research and financial engineering)

Springer, c2009

2nd ed

  • : softcover

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内容説明・目次

内容説明

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, queuing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of contours. 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-dimenstional 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."

目次

Preface.- Notations and Symbols.- Introduction.- 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.- Appendix A: Some Facts from Probability Theory.- Appendix B: Some Facts about Regularly Varying Functions.- Bibliography.- Index.

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詳細情報

  • NII書誌ID(NCID)
    BA89662257
  • ISBN
    • 9780387878348
    • 9781441927736
  • 出版国コード
    us
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    New York
  • ページ数/冊数
    xi, 263 p.
  • 大きさ
    25 cm
  • 分類
  • 件名
  • 親書誌ID
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