Point process theory and applications : marked point and piecewise deterministic processes
著者
書誌事項
Point process theory and applications : marked point and piecewise deterministic processes
(Probability and its applications)
Birkhäuser, c2006
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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
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