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

• Κύριος συγγραφέας: Jacobsen, Martin (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Boston, MA : Birkhäuser Boston, 2006.
• Σειρά: Probability and its Applications
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.