Point process theory and applications : marked point and piecewise deterministic processes

著者

• Jacobsen, Martin

書誌事項

Point process theory and applications : marked point and piecewise deterministic processes

Martin Jacobsen

（Probability and its applications）

Birkhäuser, c2006

注記

Includes bibliographical references (p. [315]-319) and indexes

内容説明・目次

内容説明

Mathematically rigorous exposition of the basic theory of marked point processes and piecewise deterministic stochastic processes Point processes are constructed from scratch with detailed proofs Includes applications with examples and exercises in survival analysis, branching processes, ruin probabilities, sports (soccer), finance and risk management, and queueing theory Accessible to a wider cross-disciplinary audience

目次

* Preface Part I: Theory * Introduction * Simple and Marked Point Processes * Construction of SPPs and MPPs * Compensators and Mrtingales * Likelihood Processes * Independence * Piecewise Deterministic Markov Processes (PDMPs) Part II: Applications * Survival Analysis * Branching, Ruin, Soccer * A Model from Finance * Examples of Queueing Models Part III: Appendices * Appendix A: Differentiation of Cadlag Functions * Appendix B: Filtrations, Processes, Martingales * Bibliographical Notes * References * Notation Index * Index

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA75375359
• ISBN:
  • 0817642153
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Boston
• ページ数/冊数: x, 328 p.
• 大きさ: 25 cm
• 分類:
  • SG : 510
• 親書誌ID:
  • BA10668227