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

Author(s)

• Jacobsen, Martin

Bibliographic Information

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

Martin Jacobsen

（Probability and its applications）

Birkhäuser, c2006

Note

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

Description and Table of Contents

Description

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

Table of Contents

* 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

by "Nielsen BookData"

Details

• NCID: BA75375359
• ISBN:
  • 0817642153
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Boston
• Pages/Volumes: x, 328 p.
• Size: 25 cm
• Classification:
  • SG : 510
• Parent Bibliography ID:
  • BA10668227