Point process theory and applications: marked point and piecewise deterministic processes
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boston [u.a.]
Birkhäuser
2006
|
| Series: | Probability and its applications
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | X, 328 S. |
| ISBN: | 0817642153 9780817642150 |
Staff View
MARC
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| 245 | 1 | 0 | |a Point process theory and applications |b marked point and piecewise deterministic processes |c Martin Jacobsen |
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Record in the Search Index
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| adam_text | Contents
Preface
Parti Theory
1
1.1
1.2
2
2.1
2.2
3
3.1
3.2
3.3
4
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
5
5.1
5.2
vi
6
6.1
6.2
7
7.1
7.2
7.3
7.4
7.4.1
7.4.2
7.4.3
7.5
7.6
7.7
7.8
7.9
Partii
8
8.1
8.2
9
9.1
9.2
9.3
10
10.1
10.2
10.3
10.4
11
11.1
11.2
Partili
A Differentiation of Cadlag Functions
B Filtrations, Processes, Martingales
Contents
Bibliographical Notes
References
Notation Index
Index
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 probabi¬
lity includes examples and exercises in survival analysis, branching
processes, ruin probabilities, sports (soccer), finance and risk manage¬
ment (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 audi¬
ence.
|
| adam_txt |
Contents
Preface
Parti Theory
1
1.1
1.2
2
2.1
2.2
3
3.1
3.2
3.3
4
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
5
5.1
5.2
vi
6
6.1
6.2
7
7.1
7.2
7.3
7.4
7.4.1
7.4.2
7.4.3
7.5
7.6
7.7
7.8
7.9
Partii
8
8.1
8.2
9
9.1
9.2
9.3
10
10.1
10.2
10.3
10.4
11
11.1
11.2
Partili
A Differentiation of Cadlag Functions
B Filtrations, Processes, Martingales
Contents
Bibliographical Notes
References
Notation Index
Index
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 probabi¬
lity includes examples and exercises in survival analysis, branching
processes, ruin probabilities, sports (soccer), finance and risk manage¬
ment (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 audi¬
ence. |
| any_adam_object | 1 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
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| spelling | Jacobsen, Martin 1942- Verfasser (DE-588)132959070 aut Point process theory and applications marked point and piecewise deterministic processes Martin Jacobsen Boston [u.a.] Birkhäuser 2006 X, 328 S. txt rdacontent n rdamedia nc rdacarrier Probability and its applications Processos estocásticos (aplicações) larpcal Processos estocásticos pontuais larpcal Processus ponctuels Processus stochastiques Point processes Stochastic processes Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd rswk-swf Punktprozess (DE-588)4138173-7 gnd rswk-swf Punktprozess (DE-588)4138173-7 s DE-604 Wahrscheinlichkeitsrechnung (DE-588)4064324-4 s Erscheint auch als Online-Ausgabe 0-8176-4463-6 Digitalisierung UBRegensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014616283&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014616283&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Jacobsen, Martin 1942- Point process theory and applications marked point and piecewise deterministic processes Processos estocásticos (aplicações) larpcal Processos estocásticos pontuais larpcal Processus ponctuels Processus stochastiques Point processes Stochastic processes Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Punktprozess (DE-588)4138173-7 gnd |
| subject_GND | (DE-588)4064324-4 (DE-588)4138173-7 |
| title | Point process theory and applications marked point and piecewise deterministic processes |
| title_auth | Point process theory and applications marked point and piecewise deterministic processes |
| title_exact_search | Point process theory and applications marked point and piecewise deterministic processes |
| title_exact_search_txtP | Point process theory and applications marked point and piecewise deterministic processes |
| title_full | Point process theory and applications marked point and piecewise deterministic processes Martin Jacobsen |
| title_fullStr | Point process theory and applications marked point and piecewise deterministic processes Martin Jacobsen |
| title_full_unstemmed | Point process theory and applications marked point and piecewise deterministic processes Martin Jacobsen |
| title_short | Point process theory and applications |
| title_sort | point process theory and applications marked point and piecewise deterministic processes |
| title_sub | marked point and piecewise deterministic processes |
| topic | Processos estocásticos (aplicações) larpcal Processos estocásticos pontuais larpcal Processus ponctuels Processus stochastiques Point processes Stochastic processes Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Punktprozess (DE-588)4138173-7 gnd |
| topic_facet | Processos estocásticos (aplicações) Processos estocásticos pontuais Processus ponctuels Processus stochastiques Point processes Stochastic processes Wahrscheinlichkeitsrechnung Punktprozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014616283&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014616283&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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