A01=Mikhail Lifshits
Author_Mikhail Lifshits
Category=PBT
Category=PBWL
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Fractional Brownian Motion
Gaussian Process
Independently Scattered Measure
LAfA(C)vy Process
Levy Process
Limit Theorem
Long Range Dependence
Lévy Process
Micropulse Model
Poisson Random Measure
Random Process
Stable Process
Stochastic Process
Teletraffic Model
White Noise
Wiener Process
Product details
- ISBN 9789814522281
- Publication Date: 07 Apr 2014
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
This volume first introduces the mathematical tools necessary for understanding and working with a broad class of applied stochastic models. The toolbox includes Gaussian processes, independently scattered measures such as Gaussian white noise and Poisson random measures, stochastic integrals, compound Poisson, infinitely divisible and stable distributions and processes.Next, it illustrates general concepts by handling a transparent but rich example of a “teletraffic model”. A minor tuning of a few parameters of the model leads to different workload regimes, including Wiener process, fractional Brownian motion and stable Lévy process. The simplicity of the dependence mechanism used in the model enables us to get a clear understanding of long and short range dependence phenomena. The model also shows how light or heavy distribution tails lead to continuous Gaussian processes or to processes with jumps in the limiting regime. Finally, in this volume, readers will find discussions on the multivariate extensions that admit a variety of completely different applied interpretations.The reader will quickly become familiar with key concepts that form a language for many major probabilistic models of real world phenomena but are often neglected in more traditional courses of stochastic processes.
