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名校购书信息
关键词：
Point Process Theory and Applications
- Marked Point and Piecewise Deterministic Processes
书目信息
ISBN：
9780817642150（13位）
中图分类号：
O1
杜威分类号：
中文译名：
点过程理论与应用
作者：
Martin Jacobsen
编者：
语种：
English
出版信息
出版社：
Springer
出版地：
出版年：
2006
版本：
版本类型：
原版
丛书题名：
Probability and its Applications
卷期：
文献信息
关键词：
Mathematics
前言：
摘要：
内容简介：
<P>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.</P> <P>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.</P>
目次：
<P>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.</P>
附录：
全文链接：
读者对象：
Grad. textbook
实体信息
页码：
328
装帧：
Hard
尺寸：
其它形态细节：
其它信息
原价：
EUR
48.0000
原版ISBN：
其它ISBN：
图书特色：
书评：
扩展信息
Isbn：
0817642153
issue：
2006JC02
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