Point process theory and applications : marked point and piecewise deterministic processes
This text offers a mathematically rigorous exposition of the basic theory of marked point processes developing randomly over time, and shows how this theory may be used to treat piecewise deterministic stochastic processes in continuous time. The focus is on point processes that generate only finite...
Tallennettuna:
| Päätekijä: | |
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| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
| Julkaistu: |
Boston, MA :
Birkhäuser Boston
[20..].
Cham : Springer Nature |
| Sarja: | Probability and its applications
|
| Aiheet: | |
| Linkit: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Huomautus: |
Description d'après consultation du 15 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Point process theory and applications, marked point and piecewise deterministic processes, Martin Jacobsen, Boston (Mass.), Birkhäuser, 2006, 1 volume (X-328 pages), Probability and its applications, 0-8176-4215-3 |
| Yhteenveto: | This text offers a mathematically rigorous exposition of the basic theory of marked point processes developing randomly over time, and shows how this theory may be used to treat piecewise deterministic stochastic processes in continuous time. The focus is on point processes that generate only finitely many points in finite time intervals, resulting in piecewise deterministic processes with "few jumps". The point processes are constructed from scratch with detailed proofs and their distributions characterized using compensating measures and martingale structures. Piecewise deterministic processes are defined and identified with certain marked point processes, which are then used in particular to construct and study a large class of piecewise deterministic Markov processes, whether time homogeneous or not. The second part of the book addresses applications of the just developed theory. This analysis of various models in applied statistics and probability includes examples and exercises in survival analysis, branching processes, ruin probabilities, sports (soccer), finance and risk management (arbitrage and portfolio trading strategies), and queueing theory. Graduate students and researchers interested in probabilistic modeling and its applications will find this text an excellent resource, requiring for mastery a solid foundation in probability theory, measure and integration, as well as some knowledge of stochastic processes and martingales. However, an explanatory introduction to each chapter highlights those portions that are crucial and those that can be omitted by non-specialists, making the material more accessible to a wider cross-disciplinary audience |
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| Huomautukset: | Description d'après consultation du 15 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografia: | Bibliogr. p. [315]-319. Index |
| ISBN: | 0817644636 9780817644635 |
| Pääsy: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |