Applied Stochastic Processes.pdf

Printed in the USA
Universitext
Mario Lefebvre
Applied Stochastic
Processes
^ Springer
Mario Lefebvre
Departement de mathematiques
et de genie industriel
Ecole Polytechnique de Montreal, Quebec
6079, . Centre-ville
Montreal H3C 3A7
Canada
******@
Mathematics Subject Classification (2000): 60-01, 60Gxx
Library of Congress Control Number: 2006935530
ISBN-10:0-387-3417M e-ISBN-10:0-387-48976-2
ISBN-13: 978-0-387-34171-2 e-ISBN-13: 978-0-387-48976-6
Printed on acid-free paper.
©2007 Springer Science+Business Media LLC
All rights reserved. This work may not be translated or copied in whole or in part
without the written permission of the publisher (Springer Science+Business Media LLC,
233 Spring Street, New York, NY 10013, .), except for brief excerpts in connection
with reviews or scholarly analysis. Use in connection with any form of information
storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar
methodology now known or hereafter developed is forbidden.
The use in this publication of trade names, trademarks, service marks and similar terms,
even if they are not identified as such, is not to be taken as an expression of opinion as
to whether or not they are subject to proprietary rights.
9 87654321
(TXQ)
Life ^s most important questions are, for the most part,
nothing but probability problems.
Pierre Simon de Laplace
Preface
This book is based on the lecture notes that I have been using since 1988
for the course entitled Processus stochastiques at the Ecole Polytechnique de
Montreal. This course is mostly taken by students in electrical engineering
and applied mathematics, notably in operations research, who are generally
at the master's degree level. Therefore, we take for granted that the reader
is familiar with elementary probability theory. However, in order to write a
self-contained book, the first chapter of the text p