STOCHASTIC PROCESSES SHELDON M. ROSS University of California, Berkeley JOHN WILEY & SONS New York + ChichOn March 40, 1980, a beautiful six-year-old girl died. This book is dedicated to the memory of NICHOLE PORNARAS 49,583 Copyright © 1983, by John Wiley & Sons fe Allrighs reserved. Published simultaneously in Canads eprasucsion oF translation of any part of this work Beyond that permitted by Sections 107 and 108 of the 1976 United States Copyright Act without the permission of the copyright ‘vnc is unlawful. Requests for permission or Further information should be addressed tothe Pennissions Department, John Wiley & Sons Libre of Congress Caaloging in PeSicaion Dera: Ross, Sheldon M. Stochastic process, (Wiley series in probability and mathemarist Statistic. Probability and mathe! tattes, ISSN 0271-6252) Includes bibliographical references snd index Stochastic proceses, Tile II Series QAr74.R6S 982 S192 2 M619 ISBN 0471-09942.2 AACR? Printed in the United States oF Amterica wosresaszt PREFACE This text is a nonmeasure theoretic introduction to stochastic processes, and as such assumes a knowledge of calculus and elementary probability. In it we attempt to present some of the theory of stochastic processes, to indicate its diverse range of applications, and also to give the student some probabilist intuition and insight in thinking about problems, We have attempted, wherever possible to view processes {rom a probabilistic instead of an analytic point of This attempt, for instance, has led us to study most processes from a sample path point of view. | would like to thank Mark Brown, Cyrus Denman. Situn-Chen Pinedo, and Zvi Schechner for their helpful comments. Michael SHELDON M. RossCONTENTS CHAPTER I. PRELIMINARIES LA Probability 1 12. Random Variables 5 1.3. Expected Value 7 1.4. Moment Generating, Characteristic Functions, and Laplace Transforms 11 15. Conditional Expectation 14 [6 The Exponential Distribution, Lack of Memory, and Havard Rate Functions 23 Limit Theorems 26 Stochastic Processes 26 Problems 27 Notes and References 30 CHAPTER 2. THE POISSON PROCESS 21. The Poisson Process 31 22. Interarrival and Waiting Time Distributions 34 2.3. Conditional Distribution of the Arrival Times 36 23.1. The M/G/I Busy Period 41 24. Nonhomogencaus Poisson Process 46 2S. Compound Poisson Process #8 2.6. Conditional Poisson Process 49 Problems 50 References 54 CHAPTER 3. RENEWAL THEORY Introduction and Preliminaries 55 Distribution of MO) 56 Some Limit Theorems 57 33.1. Wald’s Equation 59 432. Mack to Renewal Theory 60