Jacobsen Point Process Theory and Applications

Marked Point and Piecewise Deterministic Processes
1. Auflage 2006
ISBN: 978-0-8176-4463-5
Verlag: Birkhäuser Boston
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 324 Seiten

Reihe: Probability and Its Applications

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 point processes are constructed from scratch with detailed proofs and their distributions characterized using compensating measures and martingale structures. The second part of the book addresses applications of the just developed theory. This analysis of various models in applied statistics and probability includes examples and exercises in survival analysis, branching processes, ruin probabilities, sports (soccer), finance and risk management (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 audience.

Autoren/Hrsg.

Jacobsen, Martin