Stopped Random Walks: Limit Theorems and Applications
Allan Gut, "Stopped Random Walks: Limit Theorems and Applications"
English | 2009 | ISBN: 0387878343 | PDF | pages: 266 | 1.1 mb
English | 2009 | ISBN: 0387878343 | PDF | pages: 266 | 1.1 mb
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."