Advanced Mathematics And Queuing Models Pdf

QUEUEING THEORY BOOKS ON LINE

This site lists books (and course notes) with a major queueing component that are available for FREE online. If you know of any additional book or course notes on queueing theory that are available on line, please send an e-mail to the address below.
Contact: Myron Hlynka at hlynka@uwindsor.ca
Last update: June, 2016.
If you are interested in looking at a list of queueing books which are not available on line, but may (or may not) be available for purchase (not from me), go to
http://web2.uwindsor.ca/math/hlynka/qbook.html

QUEUEING BOOKS
QUEUEING VIDEOS
QUEUEING THESES and DISSERTATIONS
PERFORMANCE ANALYSIS BOOKS/NOTES
CALL CENTERS
SOME PROBABILITY BOOKS and NOTES
STOCHASTIC CALCULUS BOOKS and NOTES
MEASURE THEORETIC PROBABILITY BOOKS and NOTES
PROBABILITY DISTRIBUTIONS
BROWNIAN MOTION
FINANCIAL MATHEMATICS
MARKOV CHAIN MONTE CARLO
MARTINGALES

QUEUEING BOOKS

Robert B. Cooper. Introduction to Queueing Theory (2nd edition). 1981. 347 pp. This classic book is available on line through Robert Cooper's home page. The link to the book is:
http://www.cse.fau.edu/~bob/publications/IntroToQueueingTheory_Cooper.pdf
The solution manual (by Borge Tolt, 182 pages, 1981) is available online at
http://www.cse.fau.edu/%7Ebob/publications/QueueingTheory_solns.pdf
Finally, Bob Cooper's home page is
http://www.cse.fau.edu/~bob/
J�nos Sztrik. Modeling and Analysis of Information Technology Systems. 2016. GlobeEdit, OmniScriptum GmbH & Co, KG, Saarbrucken, Germany (2016), ISBN 978-3-639-73440-9 pdf 4 300 Kb , GlobeEdit
https://www.morebooks.de/us/search?utf8=%E2%9C%93&q=sztrik
http://irh.inf.unideb.hu/~jsztrik/publications/books/GlobeEdit_Modeling_Sztrik_2016.pdf
J�nos Sztrik. Basic Queueing Theory. 2016. (Nice online book) GlobeEdit, OmniScriptum GmbH & Co, KG, Saarbrucken, Germany (2016), ISBN 978-3-639-73471-3.
https://www.morebooks.de/us/search?utf8=%E2%9C%93&q=sztrikhttps://www.morebooks.de/us/search?utf8=%E2%9C%93&q=sztrik
https://irh.inf.unideb.hu/~jsztrik/education/16/SOR_Main_Angol.pdf
Ivo Adan and Jacques Resing. Queueing Theory. 2015. 180 pp.
http://www.win.tue.nl/~iadan/queueing.pdf
R. Boucherie. Class notes. Advanced Queueing Theory. 2006.
http://wwwhome.math.utwente.nl/~boucherierj/onderwijs/Advanced%20Queueing%20Theory/AQT.html
Moshe Haviv. Queues - �A Course in Queueing Theoy.Solution Manual 2015.
http://pluto.huji.ac.il/~haviv/solmanu1.pdf
Book is published by Springer. Look online.
Moshe Zukerman. Introduction to Queueing Theory and Stochastic Teletraffic Models, 2016. 216 pp.
http://www.ee.cityu.edu.hk/~zukerman/classnotes.pdf
J. Virtamo. Queueing Course, from Finland. Complete lecture notes, 2005. Over 250 pages altogether.
http://www.netlab.hut.fi/opetus/s383143/kalvot/english.shtml
There is another course with more applied and advanced topics in Teletraffic Theory. Powerpoint notes (2005) can be found at
http://www.netlab.tkk.fi/opetus/s38145/k05/lectures.shtml
Lectures by Samuli Aalto, Aleksi Penttinen.
Harry Perros. Queueing primer. 2006. Slides.
http://www.slideshare.net/amarhgd/ssme-queueing-theory
Bertsekas, Dimitri and Gallagher, Robert. Data Networks. 2nd ed. 1992 Prentice Hall. Chapter 3 is all queueing theory. Other chapters use queueing techniques.
http://web.mit.edu/dimitrib/www/datanets.html
Christian Dombacher. Stationary Queueing Models with Aspects of Customer Impatience and Retrial Behaviour. Revised. 2009 (18.01.2009) 131 pp.
http://www.telecomm.at/documents/Stationary_QM.pdf
A related German language queueing book, Warteschlangen, is available at
http://www.telecomm.at/documents/Warteschlangen.pdf
Muhammad El-Taha. Queueing Networks (classnotes) (U. of Southern Maine). August 8, 2007. 146 pp.
http://www.usm.maine.edu/~eltaha/root_queue_07.pdf
Sanjay BOSE. 2000. An Introduction to Queueing Systems. Some sections of the book are presented completely. The book is summarized in the slides portion of the web site for the text. Further, there is a complete set of solutions for the problems in the text and there is a set of tests to accompany the material. Even more, there are 72 pages of "additional queueing related material" which give analyses of particular queueing models. Definitely check out this site. Better yet, buy the book.
http://home.iitk.ac.in/~skb/ee679/ee679.html
A. Ravi Ravindran. Editor. OPERATIONS RESEARCH AND MANAGEMENT SCIENCE HANDBOOK. 2006
N. Gautam. Chapter 9.
http://ise.tamu.edu/people/faculty/Gautam/papers/queues_NG.pdf
A Short Introduction to Queueing Theory, by Andreas WILLIG. 1999. 41 pp.
http://www.cs.ucf.edu/~lboloni/Teaching/EEL6785_Fall2010/slides/QueueingTheory.pdf
Villy Baek Iversen, TELETRAFFIC ENGINEERING HANDBOOK: ITC in cooperation with ITU-D SG2, by COM Center, Technical University of Denmark. January, 2005.
This book is mainly about queueing theory. 336 pp.
http://www.itu.int/ITU-D/study_groups/SGP_1998-2002/SG2/StudyQuestions/Question_16/RapporteursGroupDocs/teletraffic.pdf
Control Techniques for Complex Networks. Sean Meyn.
http://www.meyn.ece.ufl.edu/archive/CTCNonline.pdf
Fabrice Valois. Introduction to Markov Chains and Queueing Theory, Lecture Notes. (in French) 2006.
1. Part 1
2. Part 2
3. Part 3
4. Part 4
5. Part 5
Keith Ross. Multiservice Loss Models for Broadband Communication Networks, Springer, 1995.
http://cis.poly.edu/~ross/LossNetworks/LossNetworks.htm
E. Altman, B. Gaujal and A. Hordijk , Discrete-event control of stochastic networks: Multimodularity and Regularity (Copyrights: Springer Verlag) Springer Verlag, Series: Lecture Notes in Mathematics 2003, XIV, 313 p., Softcover ISBN: 3-540-20358-3. It is available on line at
http://www-sop.inria.fr/members/Eitan.Altman/PAPERS/bookmm.pdf
Richard Larson and Amadeo Odoni. 1981. Urban Operations Research. Prentice Hall. Chapter 4 is an introduction to queueing theory and chapter 5 is a discussion of spatial queues. The book can be viewed on line at
http://web.mit.edu/urban_or_book/www/book/
Frank P. Kelly. Reversibility and Stochastic Networks, by 1979. A classic text. 235 pp.
http://www.statslab.cam.ac.uk/~frank/BOOKS/kelly_book.html
Harry Perros, Computer Simulation Techniques: The definitive introduction! Computer Science Department, NC State University Raleigh, NC. 2009. 175 pp. This is not a queueing book, but since it is written by a queueing expert, the examples are mainly taken from queueing theory and the material is what a queueing theorist might often be looking for.
http://www.csc.ncsu.edu/faculty/perros//simulation.pdf
Ivo Adan. Course Notes for "Stochastic Models for Design and Planning" 2003.
http://www.win.tue.nl/~iadan/sdp/
A. Ferrier, R. Kay, H. Morgan. Queueing Theory.
1. General Queueing Theory (by Andrew Ferrier)
2. Network Queueing Theory (by Robert Kay)
3. Applications of Queueing Theory (by Henry Morgan)
http://www.andrewferrier.com/oldpages/queueing_theory/
Janos Sztrik. 2001. Finite-Source Queueing Systems and their Applications.
http://irh.inf.unideb.hu/user/jsztrik/education/Slides/fsqs.pdf
Janos Sztrik. 2004. Queueing Formulas with Java applets.
http://irh.inf.unideb.hu/user/jsztrik/education/09/english/index.html
William Stallings. 2000. Queuing Analysis, by (A Practical Guide for Computer Scientists)
http://www.electronicsteacher.com/download/queuing-analysis.pdf
Anthony Busson. 2012. Markov chains, Markov Processes, Queuing Theory and Application to Communication Networks. Course Notes. http://www.anthonybusson.fr/SAR/polyCor.pdf
H. Zhang. CSC7290: Advanced Computer Networking (Winter 2009) Course notes.
http://www.cs.wayne.edu/~hzhang/courses/7290/7290.html
Bart Sinclair. The M/G/1 Queue, There are numerous short expository articles on queueing and Markov processes at the site. In the upper right hand corner, search on "sinclair" to see what is available. This site is part of a collection of on line information called CONNEXIONS.
http://cnx.rice.edu/content/m10819/latest/
Shaler Stidham Jr. Applied Probability in Operations Research: A Retrospective, by (An article on the history of queueing theory).
http://www.or.unc.edu/~sandy/papers/musing08.pdf
Avi Mandelbaum, Service Engineering (096324) Lecture Notes by taught at Technion University, Israel. 2011.
http://iew3.technion.ac.il/serveng/
Henrik Schioler. Traffic Theory and Queueing Systems. Lecture notes,
1. http://www.control.auc.dk/~henrik/undervisning/trafik/oversigt.html
2. http://www.control.auc.dk/~henrik/undervisning/trafik2/oversigt.html
Arnold Barnett, Richard Larson, Amedeo Odoni. MIT Open Courseware for Logistical and Transportation Planning Methods, Fall 2004.
http://ocw.mit.edu/courses/civil-and-environmental-engineering/1-203j-logistical-and-transportation-planning-methods-fall-2004/
Ward Whitt. Internet Supplement (300 pages) to the book Stochastic-Process Limits (An Introduction to Stochastic-Process Limits And their Application to Queues), by Ward Whitt, published by Springer in 2002 (602 pages). Chapters 5 and 8 of the Supplement are on queueing.
http://www.columbia.edu/~ww2040/supplement.html
J. G. "Jim" Dai, Stability of Fluid and Stochastic Processing Networks 1999. 76 pp.
http://www.maphysto.dk/cgi-bin/w3-msql/publications/genericpublication.html?publ=70
B.W. Stuck and E. Arthurs. 1985. Computer and Communications Network Performance Analysis Primer. Prentice-Hall.
http://www.signallake.com/publications/#primer
by Mikl�os Telek. Advanced Performance Modeling and Analysis, 2013. Non Markovian queues. matrix Analytic methods, fluid queues.
http://webspn.hit.bme.hu/~telek/notes/pres.pdf
R.B. Lenin, Slides for course Advanced Modelling: Queueing Models, Dhirubhai Ambani Institute of Information & Communication Technology, 2007.
http://220.225.53.37/~lenin/winter07_advmodel.html
John Lui. Slides of lectures in a queueing course (Hong Kong). This includes some interesting topics - such as matrix geometric methods.
http://www.cse.cuhk.edu.hk/~cslui/csc5420_lecture.html
Prapun Suksompong. Queueing Notes,
http://members.tripod.com/~psdin/commnet/queue.pdf
Dimitri Bertsikas. 2002. Traffic behavior and queueing in a QOS enviroment. Slides.
http://web.mit.edu/dimitrib/www/OPNET_Full_Presentation.ppt#323,1,Slide 1
Jean-Yves Le Boudec and Patrick Thiran. Network Calculus: A Theory of Deterministic Queuing Systems for the Internet. Springer Verlag, 2002.
http://ica1www.epfl.ch/PS_files/NetCal.htm#_What_is_Network
Tony Vignaux. Queueing Notes. 2000. Includes M/M/1, priority, and numerical solution of queueing systems.
http://www.mcs.vuw.ac.nz/~vignaux/subjects.html
Janos Sztrik. 2000. These are lecture notes on queueing in Hungarian.
http://irh.inf.unideb.hu/user/jsztrik/education/eNotes.htm
Eitan Altman. Modeling information systems and telecommunications, (This is mainly on queueing.) Lecture notes in Spanish. 2002. 81 pp. Available at
http://www-sop.inria.fr/mistral/personnel/Eitan.Altman/course.pdf
Eitan Altman. 2002. "NS simulator course for beginners". Lecture Notes 146 pp. Available at
http://www-sop.inria.fr/mistral/personnel/Eitan.Altman/ns.htm
Yannis Korilis, 2003. Networking and Queueing Course at the University of Pennsylvania, by
http://www.seas.upenn.edu/~tcom501/
Michael Neely. Queueing Notes for USC Course EE549. Spring, 2005. Notes. 31 pp.
http://www-rcf.usc.edu/~mjneely/ee549notes/
J E Beasley. 2000 OR-Notes.
OR-Notes are a series of introductory notes on topics that fall under the broad heading of the field of operations research (OR).
OR-Notes are available from http://people.brunel.ac.uk/~mastjjb/jeb/or/contents.html
Topics include queueing theory.
Jaroslav Sklenar. TutORial on Operations Research. Includes some computational tools in the simulation module on queueing section. 2000.
www.ifors.org/tutorial/
An article " Steady State Simulation of Queueing Processes: A Survey of Problems and Solutions" by K. Pawlikowski, University of Canterbury, New Zealand.
http://www.cosc.canterbury.ac.nz/%7Ekrys/publications/acm.surveys.pdf
Queueing Petri Nets: A Formalism for the Combined Qualitative and Quantitative Analysis of Systems. By Falko Bause, Informatik IV, Universitat Dortmund, 44221 Dortmund, Germany
This is an article/slide presentation.
http://ls4-www.informatik.uni-dortmund.de/QPN/QPN_article/qpn_final/qpn_final.html
"Queueing for Dummies" by David Kalinsky. An introductory article for software engineers.
http://www.embedded.com/story/OEG20010312S0101

QUEUEING VIDEOS

Video course on Queueing. Bob Cooper. 29 lectures of over an hour each.
Taught by an expert in the field.
http://vimeo.com/album/171324
Video course on Queueing. Onno Boxma. 20 lectures of 50 minutes each.
Taught by an expert in the field.
http://www.networkmaths.ie/courses
engineerguyvideo. Bill Hammack.
http://www.youtube.com/watch?v=F5Ri_HhziI0
Bill's other nonqueueing videos are also worth watching. Brilliant!
Short Queueing Intro video.
http://www.youtube.com/watch?v=YlUJ4qPjt1o&feature=related
G. Srinivasan. Video Lecture.
http://freevideolectures.com/Course/2678/Advanced-Operations-Research/30
http://www.youtube.com/watch?v=2aPlzhsEsIw&feature=related
http://www.youtube.com/watch?v=PavZX3hAL6I&feature=relmfu
POMSCM.
http://www.youtube.com/watch?v=61Dxw45R9u0&feature=relmfu
http://www.youtube.com/watch?v=87YuSoLhnVE&feature=relmfu

QUEUEING THESES and DISSERTATIONS

J. Chen, PhD, City University of Hong Kong; thesis entitled: "Performance Evaluation of Long Range Dependent Queues" (Completed 2015).Available on:\\
http://www.ee.cityu.edu.hk/~zukerman/thesis-CHENJiongze.pdf
Theses directed by Moshe Zuckerman. Many on queueing.
http://www.ee.cityu.edu.hk/~zukerman/stucontent.htm#pastst
University of Melbourne PhD theses in Electrical and Electronic Engineering.
http://www.ee.unimelb.edu.au/research/cubin/alumni_theses.html
Of particular interest from the U of melbourne liset are:
: Timothy Neame. 2003.
Characterisation and Modelling of Internet Traffic Streams
Jun Guo. 2006.
Two Problems in Stochastic Service Systems
Andrew Zalesky. 2006.�
Teletraffic Performance Models for All-Optical Networks and their Analysis
Chuan Heng Foh. 2002.
Performance Analysis and Enhancement of MAC Protocols
Lauren Trumble. 2006.
Relating Random Matrix Theory to Queueing Theory
Vyacheslav M. Abramov, ASYMPTOTIC METHODS FOR QUEUEING SYSTEMS AND NETWORKS WITH APPLICATION TO TELECOMMUNICATIONS. 2004. Thesis submitted for the degree of Doctor of Philosophy by Vyacheslav M. Abramov, University of Tel Aviv.
http://www.math.tau.ac.il/phd/dissertations/Abramov_Vyacheslav.pdf
William Baker, TRANSIENT QUEUEING APPROXIMATIONS FOR COMPUTER NETWORKS, by Texas A&M, 1986. M.Sc. Thesis.
www.tug.org/tex-archive/obsolete/macros/latex209/contrib/tamueethesis/thesis.ps
Roland de Haan (2009) Queueing models for mobile ad hoc networks. Ph.D. thesis.
Queues with Regular Variation. PhD dissertation. 2001, by Qeng Deng. Technische Universiteit Eindhoven, the Netherlands. Supervisor: O.J. Boxma.
http://alexandria.tue.nl/extra2/200112983.pdf
Xidong Deng
NETWORK QUEUE MANAGEMENT AND CONGESTION CONTROL IN INTERNET AND WIRELESS NETWORKS.
Xidong Deng
A Thesis in Computer Science and Engineering for the Degree of Doctor of Philosophy
The Pennsylvania State University. August 2004.
http://etda.libraries.psu.edu/theses/approved/WorldWideFiles/ETD-557/deng-dissertation.pdf
A.B. (Ton) Dieker. Extremes and fluid queues. Extremes and fluid queues. Thesis for University of Amsterdam. 2006. Supervisor: Michael Mandjes.
http://dare.uva.nl/document/19721
Dieter Fiems, Analysis of discrete-time queueing systems with vacations, PhD thesis, Ghent University. 2004.
http://telin.rug.ac.be/~df/thesis.pdf
David Anthony Green. Departure processes from MAP/PH/1 queues
PhD Thesis. The University of Adelaide. 1999. Includes an introduction to MAP processes in Chapter 2.
http://thesis.library.adelaide.edu.au/uploads/approved/adt-SUA20020815.092144/public/02whole.pdf
Alireza Keshavarz Haddad. 2003. Effect of the Traffic Bursts in the Network Queue Master of Science Thesis. RICE UNIVERSITY
http://spin.rice.edu/Alireza_Thesis.pdf
John Hasenbein (1998). Stability, Capacity, and Scheduling of Multiclass Queueing Networks by PhD dissertation, Georgia Tech.
http://www2.isye.gatech.edu/~dai/thesis/JohnHasenbeinThesis.pdf
Naoru Koizumi.
A QUEUEING NETWORK MODEL WITH BLOCKING: ANALYSIS OF CONGESTED PATIENTS FLOWS IN MENTAL HEALTH SYSTEMS
Naoru Koizumi.
A DISSERTATION in Regional Science. University of Pennsylvania. Doctor of Philosophy. 2002. http://mason.gmu.edu/~nkoizumi/main/Dissertation.pdf
Ger Koole. Stochastic scheduling and dynamic programming. Ger Koole, 1992 Ph.D. Thesis. (updated 1995).
http://www.math.vu.nl/~koole/articles/thesis/thesis.pdf
Denis Miretskiy (2009) Queueing networks : rare events and fast simulations. PhD Thesis. University of Twente.
http://doc.utwente.nl/68376/
Takayuki Osogami. Analysis of Multi-server Systems via Dimensionality Reduction of Markov Chains
June, 2005. School of Computer Science, Carnegie Mellon University, Pittsburgh, PA 15213
http://www.cs.cmu.edu/~osogami/thesis/html/
Alma RISKA. Aggregate Matrix Analytic Techniques and their Applicability in Computer Systems Performance Analysis:
A Dissertation Proposal Presented to the Faculty of the Department of Computer Science, The College of William & Mary in Virginia
by Alma Riska. March, 2001. Includes overview of matrix analytic methods.
http://www.control.auc.dk/~henrik/undervisning/trafik2/riska/www.cs.wm.edu/~riska/main/main.html
Lotte van den Berg. Stochastic comparison of Markov queueing networks using coupling, Master�s thess, Utrecht University (2010)
http://www.cs.vu.nl/~sbhulai/theses/thesis-vandenberg.pdf
B. Van Houdt. Performance Evaluation of Contention Resolution Algorithms in Random Access Systems, by B. Van Houdt, May 2001.
ftp://ftp.win.ua.ac.be/pub/pats/theses/benny.ps.gz
Damon Wischik. Large deviations and Internet congestion. PhD thesis, September 1999.
http://www.cs.ucl.ac.uk/staff/D.Wischik/Research/phd.pdf
MIT Theses on line. This will access the first 24 pages of SOME (not all) MIT theses (1967-2001) that are available on line. Search on "queue" in the title. I count 25 theses at this time. And I found 5 more by searching on "queuing" (note the spelling).
http://theses.mit.edu/

PERFORMANCE ANALYSIS BOOKS/NOTES
Books on Performance Analysis are often mainly about queueing theory as applied to computer performance. As such, the following book/notes are highly recommended for learning aobut queueing theory.

Edward D. Lazowska, John Zahorjan, G. Scott Graham, Kenneth C. Sevcik. (1984). Quantitative System Performance : Computer system analysis using queueing network models. Prentice-Hall, Englewood Cliffs, N.J. (417 pp.) This book is available on line at
http://www.cs.washington.edu/homes/lazowska/qsp/
Lecture Notes on Performance Evaluation, by Andreas Willig, Universtat Potsdam. (mainly queueing theory). 2004. 281 pp.
http://www-ks.hpi.uni-potsdam.de/docs/engl/teaching/pet/ss2004/skript.pdf
Methods, Practice and Theory for the Performance Evaluation of Computer and Communication Systems, by Jean-Yves Le Boudec, EPFL, July 14, 2006. 341 pp. For queueing, especially look at Chapters 4,5,11.
http://ica1www.epfl.ch/perfeval/lectureNotes.htm
Performance Modeling and Analysis of Computer Communication Networks, by Kenneth S. Vastola (Electrical Computer and Systems Engineering Dept., Rensselaer Polytechnic Institute, Troy, NY 12180-3590)
This includes an introduction to probability and about half of the document is on queueing.
http://networks.ecse.rpi.edu/~vastola/pslinks/perf/perf.html
Performance Evaluation Notes, by D. Towsley, 2002. Dept. of Computer Science, U. of Massachusetts. Included is a technical report/tutorial by R. Nelson on matrix geometric methods.
http://www-net.cs.umass.edu/pe2002/notes.html
Matrix Geometric Solutions in Markov Models: A Mathematical Tutorial, Randolph Nelson, IBM Technical Report, 1991.
http://web2.uwindsor.ca/math/hlynka/nelson.pdf
ECE 658: Performance Evaluation and Simulation Electrical and Computer Engineering, University of Cyprus. There are some nice slides here on queueing theory.
http://www.eng.ucy.ac.cy/christos/courses/ECE658/lectures.htm
Modeling and Performance Evaluation Course Notes, by Vishal Misra. 2005.
http://www.cs.columbia.edu/~misra/COMS6180/
A course on "Performance Analysis of Communication Networks" by Malathi Veeraraghavan.
http://www.ece.virginia.edu/~mv/edu/715/html-files/lect.htm
Performance Evaluation Lecture Notes (Methods, Practice and Theory for the Performance Evaluation of Computer and Communication Systems)" by Jean-Yves Le Boudec
http://ica1www.epfl.ch/perfeval/printMe/perf.pdf

CALL CENTER BOOKS/NOTES
Call centers are modeled using queueing models, and constitute an especially interesting and promising research area.

Queueing Models for Call Centres. Christian Dombacher. 2010. 304 pp.
http://www.telecomm.at/documents/Queueing_Models_CC.pdf
Statistical Analysis of a Telephone Call Center: A Queueing-Science Perspective by Lawrence Brown, Noah Gans, Avishai Mandelbaum, Anat Sakov, Haipeng Shen, Sergey Zeltyn, Linda Zhao. 55 pp. 2002.
http://fic.wharton.upenn.edu/fic/papers/03/0312.pdf
Call Center Mathematics. A scientific method for understanding and improving your contact center by Ger Koole. August, 2005. 68 pp.
http://www.cs.vu.nl/~koole/ccmath/book.pdf
Call Center Glossary. Contact Center.
http://www.europecontactcenter.com/index.php?headline=26&visual=9

SOME PROBABILITY and STOCHASTIC PROCESSES BOOKS/NOTES

Robert Gallagher. MIT video course on Discrete Stochastic Processes.
http://ocw.mit.edu/courses/audio-video-courses/
Search under "Discrete Stochastic Processes"
Modeling and Analysis of Information Technology Systems. by Dr. J�nos Sztrik. University of Debrecen, Faculty of Informatics
http://irh.inf.unideb.hu/user/jsztrik/education/16/IRMA_Main_Angol.pdf
Charles Grinstead and J. Laurie Snell. Introduction to Probability. This book has only a tiny amount on queues but may be a good place to learn the probablity background for queueing theory.
http://www.dartmouth.edu/~chance/teaching_aids/books_articles/probability_book/book.pdf
Jean Walrand, Lecture Notes on Probability Theory and Random Processes, Department of Electrical Engineering and Computer Sciences, University of California, Berkeley, CA 94720. August 25, 2004
http://walrandpc.eecs.berkeley.edu/126notes.pdf
Muhammed El-Taha. Stochastic Modeling in Operations Research, (University of Southern Maine)(classnotes) January 17, 2007
http://www.usm.maine.edu/~eltaha/mat461v07.pdf
Sean Meyn & Richard Tweedie, Markov Chains and Stochastic Stability, Springer, 1996
Winner of the 1994 ORSA/TIMS Award for the best research publication in Applied Probability. 536 pages.
https://netfiles.uiuc.edu/meyn/www/spm_files/book.html
Matthias Winkel's "Applied Probability" Notes. 98 pp. 2007.
http://www.stats.ox.ac.uk/~winkel/bs3a07.pdf
Jim Pitman. Statistics 150: Stochastic Processes-- Spring 2010.
http://stat-www.berkeley.edu/users/pitman/s150s10/
Ger Koole. Lecture notes "Optimization of business processes." November 2007. 237 pp.
http://www.math.vu.nl/~koole/obp/obp.pdf
Dimitri P. Bertsekas and Steven E. Shreve. Stochastic Optimal Control: The Discrete-Time Case, Academic Press 1978. Republished by Athena Scientific, 1996. Discusses finite and infinite horizon models.
http://web.mit.edu/dimitrib/www/soc.html
P. A. Ferrari, A. Galves. Coupling and regeneration for stochastic processes. pdf Corrected version, Oct 2001 153 + 12 pages
http://www.ime.usp.br/~pablo/book/oct2001/oct2001.pdf
Harry van Zanten. An Introduction to Stochastic Processes in Continuous Time. 2004
http://www.few.vu.nl/~rmeester/onderwijs/stochastic_processes/sp_new.pdf
Karl Sigman. Stochastic Modeling Course. Lecture Notes, by Columbia University, New York, 2001.
http://www.columbia.edu/~ks20/stochastic-I/stochastic-I.html
Karl Sigman. Stochastic Models II (IEOR 6712) notes, by 2005. Columbia University.
http://www.columbia.edu/~ks20/6712-05/6712-05.html
Bruce Hajek. Notes for ECE 534.
An Exploration of Random Processes for Engineers
July, 2006.
http://www.ifp.uiuc.edu/~hajek/Papers/randomprocesses.html
William Anderson, Notes for Elementary Stochastic Proceesses, McGill University, Montreal. 70 pp.
http://www.math.mcgill.ca/anderson/447/447_Notes.pdf
Mehrdad Shahshahani. (Iran) Introduction to stochastic processes,
http://math.ipm.ac.ir/shahshahani/
Joseph Chang. Stat 251/551: Stochastic Processes notes. Yale University. 2001.
http://pantheon.yale.edu/~jtc5/251/
Wlodzimierz Bryc. Applied Probability and Stochastic Processes. Lecture Notes for 577/578 Class, Department of Mathematics, University of Cincinnati
http://math.uc.edu/~brycw/probab/books/applprob/applprob.htm
Magdalena Hyksova. Stochastic Models. Click on "Study Materials"
http://euler.fd.cvut.cz/predmety/stoch_models/
Jan Vrbik. Lecture Notes for Stochastic Processes Course. (117 pp.)
http://spartan.ac.brocku.ca/~jvrbik/MATH4F21/notes.PDF
Marco Antonio Guimaraes Dias. "Stochastic Processes with Focus in Petroleum Applications"
http://www.puc-rio.br/marco.ind/stochast.html#gbm
Anton Wakolbinger: Stochastic Processes Notes. University of Frankfurt.
http://www.math.uni-frankfurt.de/~stoch/wakolbinger/SS2002/StochProc02.shtml
I.F. WILDE. Stochastic Analysis - Notes. (103 pages) These notes are based on lectures given in the Mathematics Department, King's College London.
http://www.mth.kcl.ac.uk/~iwilde/notes/sa/stochan.pdf
Glen TAKAHARA. 2010. STAT 455/855 course notes. Queen's University. Kingston, Ontario.
http://www.mast.queensu.ca/~stat455/lecturenotes/lecturenotes.shtml
Georg LINDGREN. 1999. Lund University. Lectures on Stationary Stochastic Processes; a course for PhD students in mathematical statistics and other fields Lund, May 1999
http://www.maths.lth.se/matstat/staff/georg/Stat_pro_9899.html
Joe Chang. ENGR 203: Stochastic Processes. Baskin School of Engineering, University of California, Santa Cruz
http://www.cse.ucsc.edu/classes/engr203/Spring99/
E. Seneta and M.S. Peiris. 2011. STAT 3011 Stochastic Processes and Time Series. University of Sydney.
http://www.maths.usyd.edu.au/u/UG/SM/STAT3011/
John Stensby. Course Notes for "Random Signals and Noise." Essentially a book in advanced probability.
http://www.eb.uah.edu/ece/courses/ee420-500/
EE178 course at Stanford University Lecture Notes. Probability and Stochastic Processes.
http://www.stanford.edu/class/ee178/lectures.html
Robert Liptser. Department of Electrical Engineering-Systems , Tel Aviv University. Lecture notes on ``Stochastic Processes'' and on ``Stochastic Control''
http://www.eng.tau.ac.il/~liptser/
Neil Laws. Applied Probability. 2010.
http://www.stats.ox.ac.uk/~laws/AppliedProb.html
Kindermann and Snell. Markov Random Fields and their Applications, 1980 147 pp. American Mathematical Society Press.
http://www.ams.org/online_bks/conm1/conm1-whole.pdf
Yuri Suhov. Part II APPLIED PROBABILITY. Cambridge. 2011
http://www.statslab.cam.ac.uk/~yms/
Pekka Orponen. T-79.250 Combinatorial Models and Stochastic Algorithms Spring 2003. Helsinki University of Technology. (presented by Vesa Höltta). Stochastic methods such as MCMC sampling, simulated annealing and genetic algorithms are currently at the forefront of approximate techniques for dealing with computationally demanding problems. This course presents these algorithms and their underlying theory, with the goal of learning to apply the methods to novel problems and achieving a broad understanding of their common foundations.
http://www.tcs.hut.fi/Studies/T-79.250/
Andreas Rasmusson. A Collection of Links to Computer Science Resources, including probability and stochastic processes. Nothing on queueing that I could see, but a wonderful collection nevertheless. This site comes from Andreas Rasmusson in the Swedish Insititute of Computer Science.
http://www.sics.se/~ara/intros.html
Hou Zhenting, Guo Qingfeng, Homogeneous Denumerable Markov Processes, Springer-Verlag, Germany, Science Press, Beijing, 1988, 282 pages
http://prob.csu.edu.cn/hou/books/Denu1988.pdf
Aldous and Fill. Reversible Markov Chains and Random Walks on Graphs , 2002.
http://www.stat.berkeley.edu/~aldous/RWG/book.html
Volker Schmidt. Markov Chains and Monte-Carlo Simulation. Lecture Notes. 2006. University Ulm, Department of Stochastics.
http://www.mathematik.uni-ulm.de/stochastik/lehre/ss06/markov/skript_engl/
Ramon van Handel. Hidden Markov Models Lecture Notes. 2008
http://www.princeton.edu/~rvan/orf557/hmm080728.pdf
Luc Devroye, Non Uniform Random Variate Generation, 1986. Springer Verlag. Over 600 pp.
http://cg.scs.carleton.ca/~luc/rnbookindex.html
M. Scott. 2011. Applied Stochastic Processes in science and engineering. 280 pp. Brownian Motion. Random Processes. Markov Processes. Master Equation. Perturbation. Fokker-Planck. Stochastic Calculus. Random Differential Equations.
http://www.math.uwaterloo.ca/~mscott/Notes.pdf

STOCHASTIC CALCULUS

Alan Bain's "Stochastic Calculus." 95 pp.
http://www.chiark.greenend.org.uk/~alanb/stoc-calc.pdf
David Nualart's "Stochastic Calculus" 89 pp.
http://www.math.ku.edu/~nualart/StochasticCalculus.pdf
Thomas Kurtz' U of Wisconsin Math 735 Stochastic Differential Equations notes. Lectures on Stochastic Analysis.
http://www.math.wisc.edu/~kurtz/m735.htm
Klaus Bichteler's University of Texas STOCHASTIC INTEGRATION AND STOCHASTIC DIFFERENTIAL EQUATIONS book.
http://www.ma.utexas.edu/users/kbi/SDE/C_1.html
S.R.Srinivasa Varadhan. Stochastic Processes (Fall 00) Notes. Courant Institute of Mathematical Sciences New York University
http://www.math.nyu.edu/faculty/varadhan/processes.html
Martin Haugh. Introduction to Stochastic Calculus 2010
http://www.columbia.edu/~mh2078/stochastic_calculus.pdf
Ramon van Handel. Stochastic Calculus, Filtering, and Stochastic Control. Lecture Notes. 2007
http://www.princeton.edu/~rvan/acm217/ACM217.pdf
Stochastic and Partial Differential Equations with Adapted Numerics, by Jonathan Goodman, Kyoung-Sook Moon, Anders Szepessy, Raul Tempone, Georgios Zouraris. 202 pp. February, 2010
http://www.math.kth.se/~szepessy/sdepde.pdf
Stochastic Differential Equations: A SAD Primer, by Adam Monahan July 8, 1998. 9 pp.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.134.3249&rep=rep1&type=pdf
Stochastic Differential Equations for the Social Sciences, by Loren Cobb, 1998. 26 pp.
http://www.aetheling.com/docs/SDE.pdf
Stochastic integration, by P.J.C. Spreij. 2011. 97 pp.
http://staff.science.uva.nl/~spreij/onderwijs/master/si.pdf
AN INTRODUCTION TO STOCHASTIC DIFFERENTIAL EQUATIONS, VERSION 1.2, by Lawrence C. Evans Department of Mathematics UC Berkeley. 130 pp.
http://math.berkeley.edu/~evans/SDE.course.pdf
Jonathon Goodman (New York University). Stochastic Calculus Lecture Notes. 2004.
http://math.nyu.edu/faculty/goodman/teaching/StochCalc2004/index.html

MEASURE THEORETIC PROBABILITY

Richard Bass (U of Connecticut) Probability Notes. 2001
http://www.math.uconn.edu/~bass/prob.pdf
For other lecture notes on measure theory, stochastic calculus, financial mathematics, undergraduate probability, by Richard Bass, go to
http://www.math.uconn.edu/~bass/lecture.html
Rodrigo BANUELO. 2003. Lecture Notes: Measure Theory and Probability. 198 pp.
http://www.math.purdue.edu/~banuelos/probability.pdf
PROBABILITY AND MEASURE (March 30, 2003). Herman J. Bierens Professor of Economics Pennsylvania State University
http://econ.la.psu.edu/~hbierens/PROBABIL.PDF
Stochastic Processes (MATH136, 2006, Stanford), by Amir Dembo.
http://www-stat.stanford.edu/~amir/math-136/
Bruce K. Driver. Math 280 (Probability Theory) Lecture Notes. 2007. 233 pp.
http://www.math.ucsd.edu/~bdriver/280_06-07/Lecture_Notes/N16_2p.pdf
Robert M. Gray. Probability, Random Processes, and Ergodic Properties. 2010.
http://www-ee.stanford.edu/~gray/arp.pdf
Alexander GRIGORYAN. 2008. Measure theory and probability. Lecture notes. 122 pp.
http://www.math.uni-bielefeld.de/~grigor/mwlect.pdf
Oliver KNILL. 2006. Probability. Caltech.
http://www.math.harvard.edu/~knill/teaching/math144_1994/probability.pdf
Michael Kozdron. Probability. (based on J. Rosenthal's A First Look at Rigorous Probability Theory)
http://stat.math.uregina.ca/~kozdron/Teaching/Regina/851Winter08/Handouts/851notes_L1_to_L36.pdf
http://www.math.wisc.edu/~kurtz/oxford/ox_outline.html
Gregory Miermont. Advanced Probability. Part III of the Mathematical Tripos. 2006 92 pp.
http://www.math.u-psud.fr/~miermont/AdPr2006.pdf
Peter MORTERS. 1999-2000. Lecture Notes in Probability, Universitat Kaiserslautern.
http://people.bath.ac.uk/maspm/prob.ps
Peter MORTERS. 2000. Lecture Notes in Stochastic Processes, Universitat Kaiserslautern. Martingales. Stochastic Integrals. Stochastic Calculus. Brownian Motion.
http://people.bath.ac.uk/maspm/stoa.ps
Efe A. Ok (New York University). PROBABILITY THEORY with ECONOMIC APPLICATIONS.
http://homepages.nyu.edu/~eo1/books.html
Dmitry Panchenko. University of Toronto/ Texas A&M University. 2014. Math 606. Theory of Probability lecture notes (graduate course)
https://sites.google.com/site/panchenkomath/Home/math606-spring2013
Yuval PERES. 2002. Statistics 205B : Probability Theory II notes. Berkeley.
http://stat-www.berkeley.edu/~peres/teach/
Jorn Sass. Probability Theory I. Winter term 2009/10
http://www.mathematik.uni-kl.de/~sass/eng/teaching/VorlWT/WT1V.pdf
M. Schweizer. Stochastic Processes and Stochastic Analysis. 2007. 75 pp.
http://www.mitschriften.ethz.ch/main.php?page=3&scrid=1&pid=17&oid=4&eid=2
Cosma SHALIZI. 2007. 36-754, Advanced Probability II or
Almost None of the Theory of Stochastic Processes. 316 pp.
http://www.stat.cmu.edu/~cshalizi/754/notes/all.pdf
Noel Vaillant's Probability Tutorials. More measure theory than probability, but all with probability in mind. Very interesting site.
http://www.probability.net/
I.F. Wilde's notes on Measure, integration & probability. King's College, London.
http://www.mth.kcl.ac.uk/~iwilde/notes/mip/

PROBABILITY DISTRIBUTIONS

Compendium of Distributions, by Michael P. McLaughlin,
http://www.geocities.com/~mikemclaughlin/math_stat/Dists/Compendium.pdf
Continuous Distributions.
http://www.xycoon.com/contdistroverview.htm
Engineering Statistics Handbook
NIST/SEMATECH e-Handbook of Statistical Methods
Contains distributions in Chapter 1 (Explore)
http://www.itl.nist.gov/div898/handbook/index.htm
Virtual Laboratories in Probability and Statistics. University of Alabama - Huntsville.
I really like this site. Take a look. There is a wealth of information here. Congratulations to those who prepared this site. Brilliant.
http://www.math.uah.edu/stat/index.html

BROWNIAN MOTION

Wikipedia article on Brownina Motion.
http://en.wikipedia.org/wiki/Brownian_motion
A Java applet simulating Brownian Motion.
http://xanadu.math.utah.edu/java/brownianmotion/1/
Steve Lalley's Lecture Notes on mathematical finance
http://www.stat.uchicago.edu/~lalley/Courses/390/
Lecture notes of Lawrence Evans on Stochastic Differential Equations
http://math.berkeley.edu/~evans/SDE.course.pdf
Amir Dembo's Lecture Notes on Stochastic Processes include a chapter on Brownian Motion
http://www-stat.stanford.edu/~adembo/math-136/nnotes.pdf
Feng Yu's Lecture notes on Brownian Motion
http://www.maths.bris.ac.uk/~maxfy/sp.html

FINANCIAL MATHEMATICS

Richard BASS: Lecture Notes for Financial Mathematics.
http://www.math.uconn.edu/~bass/finlmath.pdf
Holger KRAFT: Lecture Notes. �FINANCIAL MATHEMATICS I: Stochastic Calculus, Option Pricing, Portfolio Optimization. � University of Kaiserslautern. August 4, 2005.
http://elsa.ub.uni-kl.de/ressource56/
Scot ADAMS and Fernando REITICH. Notes on Financial Mathematics
http://www.math.umn.edu/finmath/lectures/
Vasily NEKRASOV. Yet another, yet very reader-friendly, introduction to measure theory (for financial mathematics).
http//www.yetanotherquant.com
Harald LANG. Lectures on Financial Mathematics
http://www.math.kth.se/~lang/finansmatte/fin_note.pdf
Richard F. BASS. The Basics of Financial Mathematics. Spring 2003. 106 pp.
http://www.math.uconn.edu/~bass/finlmath.pdf
M. NEWBY and P.P. MARTIN Mathematics for Finance: Mathematical Processes for Finance, 2005. by
http://staff.city.ac.uk/~ra359/X3MathFinance/
Stefan ANKIRCHNER. Option Pricing and Financial Mathemtics.
http://www.iam.uni-bonn.de/people/ankirchner/teaching.html
Holger KRAFT. Lecture Notes on �FINANCIAL MATHEMATICS I: Stochastic Calculus, Option Pricing, Portfolio Optimization�
http://elsa.ub.uni-kl.de/ressource56/
Karl SIGMAN. Notes on Financial Engineering.
http://www.columbia.edu/~ks20/FE-Notes/FE-Notes-Sigman.html
E. Tick. Financial Engineering Course Notes.
http://lsc.fie.umich.mx/~juan/Materias/Posgrado/Finance/fin/fin.html
Fabio TROJANI. Introduction to Probability Theory and Stochastic Processes for Finance. Lecture Notes. 98 pp.
http://www.people.lu.usi.ch/trojanif/Master_USI/Probability_0405/LectureNotes/Lecturenotes.pdf
Michael KOZDRAN. Stochastic Calculus with Applications to Finance 2009
http://stat.math.uregina.ca/~kozdron/Teaching/Regina/441Winter09/Notes/441_L1_L36.pdf
A.W. van der VAART (Vrije U). Martingales, Diffusions, and Financial Mathematics
http://www.math.vu.nl/sto/onderwijs/fw/stochint.pdf
Marco AVELLANEDA. 1996. Topics in Probability: The mathematics of financial risk-management. Courant Institute of Mathematical Sciences
http://www.math.nyu.edu/faculty/avellane/risk.html

MARKOV CHAIN MONTE CARLO

ZHU, DELLEART and TU. Markov Chain Monte Carlo for Computer Vision --- A tutorial.
http://civs.ucla.edu/old/MCMC/MCMC_tutorial.htm
Persi DIACONIS. The Markov Chain Monte Carlo Revolution
http://www-stat.stanford.edu/~cgates/PERSI/papers/MCMCRev.pdf
R.M. NEAL. 1993. Probabilistic Inference Using Markov Chain Monte Carlo Methods, Technical Report CRG-TR-93-1. 144 pp.
http://www.cs.toronto.edu/~radford/ftp/review.pdf
Antonietta MIRA. Introduction to Monte Carlo and MCMC Methods.
http://venda.uku.fi/research/FIPS/BMIP/pdffiles/mcmc-uk.pdf
Charles J. GEYER. 2005. Markov Chain Monte Carlo Lecture Notes. 162 pp.
http://www.stat.umn.edu/geyer/f05/8931/n1998.pdf

MARTINGALES

Prakash Balachandran. 2008. Fundamental Inequalities, Convergence and the Optional Stopping Theorem for Continuous-Time Martingales. 13 pp.
http://www.duke.edu/~pb25/Math/continuous-time%20martingales.pdf
Karl Sigman. Introduction to Martingales in discrete time. 8 pp.
http://www.columbia.edu/~ks20/stochastic-I/stochastic-I-MG-Intro.pdf
Alistair Sinclair. Martingales and the Optional Stopping Theorem. 6 pp.
http://www.cs.berkeley.edu/~sinclair/cs271/n21.pdf
Kevin Ross. Optional Stopping.
http://www.swarthmore.edu/NatSci/kross1/Lec14_1027.pdf
http://www.swarthmore.edu/NatSci/kross1/Lec15_1029.pdf
http://www.swarthmore.edu/NatSci/kross1/Lec16_1031.pdf
http://www.swarthmore.edu/NatSci/kross1/Lec17_1103.pdf
Steve Lalley. Martingale Lectures. 15 pp.
http://www.stat.uchicago.edu/~lalley/Courses/390/Lecture3.pdf
Michael Kozdron. Martingales. 5 pp.
http://stat.math.uregina.ca/~kozdron/Teaching/Regina/862Winter06/Handouts/mart.pdf
A.W. van der Vaart (Vrije U). Martingales, Diffusions, and Financial Mathematics
http://www.math.vu.nl/sto/onderwijs/fw/stochint.pdf
John B. Walsh. Notes on Elementary Martingale Theory. 44 pp.
http://www.math.ubc.ca/~walsh/marts.pdf

Acknowledgements: Dr. Hlynka recognizes funding from the University of Windsor which assists in his queueing theory research. View Dr. Hlynka's home page at
http://web2.uwindsor.ca/math/hlynka/index.html
Dr. Myron Hlynka is a member of the University of Windsor Queueing Group.