STOCHASTIC PROCESSES Second Edition Sheldon M. Ross University of California, Berkeley | JOHN WILEY & SONS, INC. | ‘New York * Chichester * Brisbane * Toronto * SingaporeACQUISITIONS EDITOR Bad Wiley 11 MARKETING MANAGER Debra Rieger SEMIDR PRODUCTION EDITOR Tony VonOrsis MANUFACTURING MANAGER Dorothy Scar ‘TEXT AND COVER DESIGN A Good Thing, In. PRODUCTION COORDINATION Elm Siret Publishing Series, Ie “This book was et in Times Roman by Bi-Comp, Ie. end printed ad bound by CourenStoughton, The over Wes printed By Phoenix Cole Recognizing the importance of preserving what has boen wet, it sa poe of John ‘Wily & Sons, Ie to hve Books of enduring value published in the United Sats printed on aci-tree paper and we exert ou Bet efor 0 that end, ‘The paper ie this book was manticure by il whose forest management progrtns ingle ssained yes harvesting of its inbeviands. Sutsined yield harvesting principles ‘tear thatthe auiber of tees cu each year does Got exceed the amount of new BrOwt, Copyright © 1996, by John Wiley & Sons, Ine. Al ig reserved. Published simultaneous io Canada Reproduction of tanlation of 2 pat of thir woek beyond that pert by Sections 107 and 108 of the 1976 United States Copyright ‘Ac without the permission ofthe copyright ‘owaer i unlawful. Requests for permission ‘or further information should be addressed to the Permissions Departmen, John Wily & Sons, Ine Library of Congress Cataloging-tn-Publcation Deva: Ros, Sheldon M. ‘Stochastic proctssesSheldon M. Ross-—2nd ed. Ioclaesbibigrapical references and index ISBN 0471-12062. otal paper) 1 Stochastic processes. L Tile OADERES 1996 siga—-a20 osgoi2 cr ot in the United states of Ameria 1098765432 On March 30, 1980, a beautifl six-year-old girl died. This book is dedicated to the memory of Nichole PornarasPreface to the First Edition ‘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, 10 indicate its diverse range of applications, and also to give the student some probabilistic {intuition and insight in thinking about problems. We have attempted, wherever possible, to view processes from a probabilistic instead of an analytic point of view. 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 Derman, Shun-Chen Niu, Michael Pinedo, and Zvi Schechner for their helpful comments. SHELDON M. Ross