Marked Point Processes on the Real Line

Brandt, Andreas; Last, Gunter (Technische Universitaet Braunschweig, Germany)

ISBN 10: 0387945474 / ISBN 13: 9780387945477

Editore: Springer-Verlag New York Inc., 1995

This text provides a self-contained introduction to the dynamic martingale approach to marked point processes (MPP). Based on the notion of a compensator, this approach gives a versatile tool for analyzing and describing the stochastic properties of an MPP. Series: Probability and its Applications. Num Pages: 504 pages, black & white illustrations. BIC Classification: PBT; PBWL. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 243 x 166 x 34. Weight in Grams: 910. . 1995. Hardback. . . . . Books ship from the US and Ireland. Codice articolo V9780387945477

Riassunto:

This book gives a self-contained introduction to the dynamic martingale approach to marked point processes (MPP). Based on the notion of a compensator, this approach gives a versatile tool for analyzing and describing the stochastic properties of an MPP. In particular, the authors discuss the relationship of an MPP to its compensator and particular classes of MPP are studied in great detail. The theory is applied to study properties of dependent marking and thinning, to prove results on absolute continuity of point process distributions, to establish sufficient conditions for stochastic ordering between point and jump processes, and to solve the filtering problem for certain classes of MPPs.

Recensione: "It is obvious that the authors have had fun in writing this book; they want to share their enthusiasm for the subject with a broad readership...The authors are to be congratulated on the final product." (International Statistical Institute short book reviews)

Dati bibliografici

Titolo: Marked Point Processes on the Real Line
Casa editrice: Springer-Verlag New York Inc.
Data di pubblicazione: 1995
Legatura: Rilegato
Condizione: New