Structured dependence between stochastic processes

著者

• Bielecki, Tomasz R.
• Jakubowski, Jacek
• Niewęgłowski, Mariusz

書誌事項

Structured dependence between stochastic processes

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski

（Encyclopedia of mathematics and its applications / edited by G.-C. Rota, 175）

Cambridge University Press, 2020

• : hardback

注記

Includes bibliographical references (p. [259]-263) and indexes

内容説明・目次

内容説明

The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random variables. Presenting both the technical aspects and the applications of the theory, this is a valuable reference for researchers and practitioners in the field, as well as for graduate students in pure and applied mathematics programs. Numerous theoretical examples are included, alongside examples of both current and potential applications, aimed at helping those who need to model structured dependence between dynamic random phenomena.

目次

• 1. Introduction
• Part I. Consistencies: 2. Strong Markov consistency of multivariate Markov families and processes
• 3. Consistency of finite multivariate Markov chains
• 4. Consistency of finite multivariate conditional Markov chains
• 5. Consistency of multivariate special semimartingales
• Part II. Structures: 6. Strong Markov family structures
• 7. Markov chain structures
• 8. Conditional Markov chain structures
• 9. Special semimartingale structures Part III. Further Developments: 10. Archimedean survival processes, Markov consistency, ASP structures
• 11. Generalized multivariate Hawkes processes
• Part IV. Applications of Stochastic Structures: 12. Applications of stochastic structures
• Appendix A. Stochastic analysis: selected concepts and results used in this book
• Appendix B. Markov processes and Markov families
• Appendix C. Finite Markov chains: auxiliary technical framework
• Appendix D. Crash course on conditional Markov chains and on doubly stochastic Markov chains
• Appendix E. Evolution systems and semigroups of linear operators
• Appendix F. Martingale problem: some new results needed in this book
• Appendix G. Function spaces and pseudo-differential operators
• References
• Notation index
• Subject index.

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詳細情報

• NII書誌ID(NCID): BC02337841
• ISBN:
  • 9781107154254
• LCCN: 2020006654
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Cambridge
• ページ数/冊数: viii, 269 p.
• 大きさ: 25 cm
• 分類:
  • DC23 : 519.22
• 件名:
  • LCSH : Stochastic processes
• 親書誌ID:
  • BA00064663