Markov Processes and Applications
Книга "Markov Processes and Applications"
Авторы: Группа авторов
Издатель: John Wiley & Sons Limited
ISBN: 9780470721865
Описание
This well-written book provides a clear and accessible treatment of the theory of discrete and continuous-time Markov chains, with an emphasis towards applications. The mathematical treatment is precise and rigorous without superfluous details, and the results are immediately illustrated in illuminating examples. This book will be extremely useful to anybody teaching a course on Markov processes. Jean-Fran?ois Le Gall, Professor at Universit? de Paris-Orsay, France. Markov processes is the class of stochastic processes whose past and future are conditionally independent, given their present state. They constitute important models in many applied fields. After an introduction to the Monte Carlo method, this book describes discrete time Markov chains, the Poisson process and continuous time Markov chains. It also presents numerous applications including Markov Chain Monte Carlo, Simulated Annealing, Hidden Markov Models, Annotation and Alignment of Genomic sequences, Control and Filtering, Phylogenetic tree reconstruction and Queuing networks. The last chapter is an introduction to stochastic calculus and mathematical finance. Features include: The Monte Carlo method, discrete time Markov chains, the Poisson process and continuous time jump Markov processes. An introduction to diffusion processes, mathematical finance and stochastic calculus. Applications of Markov processes to various fields, ranging from mathematical biology, to financial engineering and computer science. Numerous exercises and problems with solutions to most of them
Характеристики
- параметрPDF
- Наименование Markov Processes and Applications
- Категория знания и навыки/учебная и научная литература/естественные науки/математика
- Авторы Группа авторов
- Издатель John Wiley & Sons Limited
- ISBN 9780470721865
- Тип Книга
- Продавец Литрес
- Актуальность 28.05.2026
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