Stopped Random Walks

Limit Theorems and Applications

von Allan Gut

263 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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, queueing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of counters. 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-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”.

• Reihe: Springer Series in Operations Research and Financial Engineering
• ISBN: 9781441927736
• Sprache: Englisch
• Erscheinungsdatum: 15.12.2010
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer US