Stochastic Processes 1

Probability Examples c-8
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137 pages
In this book you find the basic mathematics that is needed by engineers and university students .
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Om författaren

Leif Mejlbro was educated as a mathematician at the University of Copenhagen, where he wrote his thesis on Linear Partial Differential Operators and Distributions. Shortly after he obtained a position at the Technical University of Denmark, where he remained until h...


In this book you find the basic mathematics that is needed by engineers and university students . The author will help you to understand the meaning and function of mathematical concepts. The best way to learn it, is by doing it, the exercises in this book will help you do just that.

Topics as Elementary probability calculus, density functions and stochastic processes are illustrated.

This book requires knowledge of Calculus 1 and Calculus 2.

This is the eighth book of examples from the Theory of Probability. The topic Stochastic Processes is so huge that I have chosen to split the material into two books. In the present first book we shall deal with examples of Random Walk and Markov chains, where the latter topic is very large. In the next book we give examples of Poisson processes, birth and death processes, queueing theory and other types of stochastic processes.

The prerequisites for the topics can e.g. be found in the Ventus: Calculus 2 series and the Ventus: Complex Function Theory series, and all the previous Ventus: Probability c1-c7.

Unfortunately errors cannot be avoided in a first edition of a work of this type. However, the author has tried to put them on a minimum, hoping that the reader will meet with sympathy the errors which do occur in the text.

Leif Mejlbro
27th October 2009

  1. Introduction
  2. Stochastic processes; theoretical background
    1. General about stochastic processes
    2. Random walk
    3. The ruin problem
    4. Markov chains
  3. Random walk
  4. Markov chains
  5. Index