Point Process Theory and Applications Marked Point and Piecewise Deterministic Processes /

• Main Author: Jacobsen, Martin (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Birkhäuser Boston, 2006.
• Series: Probability and its Applications
• Subjects: Mathematics.; Measure theory.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Mathematical optimization.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Measure and Integration.; Optimization.; Quantitative Finance.

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...

Table of Contents:

• Theory
• Simple and Marked Point Processes
• Construction of SPPs and MPPs
• Compensators and Martingales
• Likelihood Processes
• Independence
• Piecewise Deterministic Markov Processes
• Applications
• The Basic Models from Survival Analysis
• Branching, Ruin, Soccer
• A Model from Finance
• Examples of Queueing Models
• Appendices
• Differentiation of Cadlag Functions
• Filtrations, Processes, Martingales.