1st Edition

Stochastic Processes with R An Introduction

By Olga Korosteleva Copyright 2022
    200 Pages 57 Color Illustrations
    by Chapman & Hall

    200 Pages 57 Color Illustrations
    by Chapman & Hall

    200 Pages 57 Color Illustrations
    by Chapman & Hall

    Stochastic Processes with R: An Introduction cuts through the heavy theory that is present in most courses on random processes and serves as practical guide to simulated trajectories and real-life applications for stochastic processes. The light yet detailed text provides a solid foundation that is an ideal companion for undergraduate statistics students looking to familiarize themselves with stochastic processes before going on to more advanced courses.

    Key Features

    • Provides complete R codes for all simulations and calculations
    • Substantial scientific or popular applications of each process with occasional statistical analysis
    • Helpful definitions and examples are provided for each process
    • End of chapter exercises cover theoretical applications and practice calculations



    Chapter 1 Stochastic Process. Discrete-time Markov Chain

    Chapter 2 Random Walk

    Chapter 3 Poisson Process

    Chapter 4 Nonhomogeneous Poisson Process

    Chapter 5 Compound Poisson Process

    Chapter 6 Conditional Poisson Process

    Chapter 7 Birth-and-Death Process

    Chapter 8 Branching Process

    Chapter 9 Brownian Motion

    Recommended books

    List of Notation



    Olga Korosteleva, PhD, is a professor of statistics in the Department of Mathematics and Statistics at California State University, Long Beach (CSULB). She earned her Bachelor’s degree in mathematics in 1996 from Wayne State University in Detroit, and her PhD in statistics from Purdue University in West Lafayette, Indiana, in 2002. Since then she has been teaching statistics and mathematics courses at CSULB.

    "This book is useful for simulating Markov chains, Poisson processes, and Brownian motion. The book can be used as supplementary reading for a first course in stochastic processes at the undergraduate-graduate level."

    - David J. Olive, Technometrics, November 2022.