Applied Probability and Stochastic Processes

This book presents applied probability and stochastic processes in an elementary but mathematically precise manner, with numerous examples and exercises to illustrate the range of engineering and science applications of the concepts. The book is designed

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Richard M. Feldman ยท Ciriaco Valdez-Flores

Applied Probability and Stochastic Processes Second Edition

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Richard M. Feldman Texas A&M University Industrial and Systems Engineering Department College Station Texas 77843-3131 USA [email protected]

Ciriaco Valdez-Flores Sielken & Associates Consulting, Inc. 3833 Texas Avenue Bryan Texas 77802 USA [email protected]

ISBN 978-3-642-05155-5 e-ISBN 978-3-642-05158-6 DOI 10.1007/978-3-642-05158-6 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2009940615 Originally published by PWS Publishing/Thomson Publishing, USA, 1995 c Springer-Verlag Berlin Heidelberg 2010  This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: eStudio Calamar S.L. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)

This book is dedicated to our wives, Alice Feldman and Nancy Vivas-Valdez, whose patience, love, and support keep us going and make life worthwhile.

Preface

This book is a result of teaching stochastic processes to junior and senior undergraduates and beginning graduate students over many years. In teaching such a course, we have realized a need to furnish students with material that gives a mathematical presentation while at the same time providing proper foundations to allow students to build an intuitive feel for probabilistic reasoning. We have tried to maintain a balance in presenting advanced but understandable material that sparks an interest and challenges students, without the discouragement that often comes as a consequence of not understanding the material. Our intent in this text is to develop stochastic processes in an elementary but mathematically precise style and to provide sufficient examples and homework exercises that will permit students to understand the range of application areas for stochastic processes. We also practice active learning in the classroom. In other words, we believe that the traditional practice of lecturing continuously for 50 to 75 minutes is not a very effective method for teaching. Students should somehow engage in the subject matter during the teaching session. One effective method for active learning is, after at most 20 minutes of lecture, to assig