Author: J. A. M. van der WeidePublisher:
ISBN:
Category : Markov processes
Languages : en
Pages : 124
Book Description
Stochastic Processes and Point Processes of Excursions
Author: J. A. M. van der WeidePublisher:
ISBN:
Category : Markov processes
Languages : en
Pages : 124
Book Description
Stochastic Processes and Point Processes of Excursions
Author: Johannes A. van der WeidePublisher:
ISBN:
Category : Point processes
Languages : da
Pages : 155
Book Description
Excursions of Markov Processes
Author: Robert M. BlumenthalPublisher: Springer Science & Business Media
ISBN: 1468494120
Category : Mathematics
Languages : en
Pages : 287
Book Description
Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "excursions away from 0," that is pieces of path X. : T ::5 s ::5 t, with Xr- = X = 0, but X. 1= 0 for T
On Excursions of Stochastic Processes, Cox-point Processes, Entrance Behaviour and Resolvents
Author: John G.M. SchoenmakersPublisher:
ISBN:
Category :
Languages : en
Pages : 114
Book Description
Poisson Point Processes and Their Application to Markov Processes
Author: Kiyosi ItôPublisher: Springer
ISBN: 981100272X
Category : Mathematics
Languages : en
Pages : 54
Book Description
An extension problem (often called a boundary problem) of Markov processes has been studied, particularly in the case of one-dimensional diffusion processes, by W. Feller, K. Itô, and H. P. McKean, among others. In this book, Itô discussed a case of a general Markov process with state space S and a specified point a ∈ S called a boundary. The problem is to obtain all possible recurrent extensions of a given minimal process (i.e., the process on S \ {a} which is absorbed on reaching the boundary a). The study in this lecture is restricted to a simpler case of the boundary a being a discontinuous entrance point, leaving a more general case of a continuous entrance point to future works. He established a one-to-one correspondence between a recurrent extension and a pair of a positive measure k(db) on S \ {a} (called the jumping-in measure and a non-negative number m
Stochastic Processes
Author: S. R. S. VaradhanPublisher: American Mathematical Soc.
ISBN: 9780821883556
Category : Mathematics
Languages : en
Pages : 140
Book Description
Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium
Author: Jiro AkahoriPublisher: World Scientific
ISBN: 9814483095
Category : Mathematics
Languages : en
Pages : 410
Book Description
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
A Lifetime of Excursions Through Random Walks and Lévy Processes
Author: Loïc ChaumontPublisher: Springer Nature
ISBN: 3030833097
Category : Mathematics
Languages : en
Pages : 354
Book Description
This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.
Stochastic Processes and Applications to Mathematical Finance
Author: Jiro AkahoriPublisher: World Scientific
ISBN: 9812387781
Category : Mathematics
Languages : en
Pages : 410
Book Description
This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Stochastic Point Processes
Author: S. Kidambi SrinivasanPublisher: Alpha Science Int'l Ltd.
ISBN: 9788173195594
Category : Mathematics
Languages : en
Pages : 352
Book Description
Stochastic Point Processes are interesting from many points of view. From and abstract point of view, point process is a simple version of random measure; these processes have acquired importance mainly due their viability in modeling a variety of phenomena spanning physical, biological, economic and engineering sciences. This volume with contributions from leading probabilists contains, besides surveys on the state-of-art of the theory, papers dealing with problems of queues, inventory, reliability and population evolution. There are also papers dealing with practical aspects like statistical inference and nonlinear filtering. The book will be of interest to a wide spectrum of people including those working in the area of operations research, signal processing, electrical communications & control and neural network.