A self-contained treatment of stochastic processes arising from models for queues, insurance risk, and dams and data communication, using their sample function properties. The approach is based on the fluctuation theory of random walks, L vy processes, and Markov-additive processes, in which Wiener-Hopf factorisation plays a central role. This second edition includes results for the virtual waiting time and queue length in single server queues, while the treatment of continuous time storage processes is thoroughly revised and simplified. With its prerequisite of a graduate-level course in probability and stochastic processes, this book can be used as a text for an advanced course on applied probability models.
Stochastic Storage Processes
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4.0 out of 5 stars
Prabhu on storage processes,
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This review is from: Stochastic Storage Processes: Queues, Insurance Risk, Dams, and Data Communication (Stochastic Modelling and Applied Probability) (Hardcover)
A well written book on the subject of storage processes from a theoretical point of view. It does not have an applied flavour or is prone to numerical evaluations. The level and the style however is complementary to other texts. So, I consider this a nice book to have in addition to other more basic texts.
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Inside This Book
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First Sentence:
The processes investigated in this book are those arising from stochastic models for queues, inventories, dams, insurance risk, and data communication. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
total idle period, net input process, descending ladder points, net input rate, ladder epochs, random walk induced, least positive root, remaining workload, virtual waiting time, low priority customer, ladder processes, nth customer, nth arrival, busy cycle, arrival epoch, queue discipline, dam model, unique continuous solution, storage model, fluctuation theory, stationary independent increments, queueing system, busy period, interarrival times, storage policy Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, John Wiley, Markov-compound Poisson, The Ladder Process New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
The processes investigated in this book are those arising from stochastic models for queues, inventories, dams, insurance risk, and data communication. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
total idle period, net input process, descending ladder points, net input rate, ladder epochs, random walk induced, least positive root, remaining workload, virtual waiting time, low priority customer, ladder processes, nth customer, nth arrival, busy cycle, arrival epoch, queue discipline, dam model, unique continuous solution, storage model, fluctuation theory, stationary independent increments, queueing system, busy period, interarrival times, storage policy Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, John Wiley, Markov-compound Poisson, The Ladder Process New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 32
books:
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13
books
cite this book:
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- The Theory of Storage (Methuen's Monographs on Applied Probability and Statistics) by P. A. P. Moran on page 15
- Two stochastic processes, by John A Beekman on page 15
- Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability) (v. 1) by Wendell H. Fleming in Front Matter
- Statistical Estimation. Asymptotic Theory. Applications of Mathematics, Volume 16 by I.A. Ibragimov in Front Matter
- Controlled Diffusion Processes (Stochastic Modelling and Applied Probability) by Nikolai Vladimirovich Krylov in Front Matter
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- Stochastic Approximation and Recursive Algorithms and Applications (Stochastic Modelling and Applied Probability) (v. 35) by Harold J. Kushner in Front Matter
- Stochastic Calculus and Financial Applications by J. Michael Steele in Front Matter
- Methods of Mathematical Finance by Ioannis Karatzas in Front Matter
- Stochastic Models in Reliability (Stochastic Modelling and Applied Probability) (v. 41) by Terje Aven in Front Matter
- Discrete-Time Markov Chains: Two-Time-Scale Methods and Applications (Stochastic Modelling and Applied Probability) by G. George Yin in Front Matter
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