Marked Point Processes on the Real Line: The Dynamical Approach - Couverture rigide

Last, Günter; Brandt, Andreas

 
9780387945477: Marked Point Processes on the Real Line: The Dynamical Approach

Synopsis

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.

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Autres éditions populaires du même titre

9781461497875: Marked Point Processes on the Real Line: The Dynamical Approach (Probability and Its Applications)

Edition présentée

ISBN 10 :  1461497876 ISBN 13 :  9781461497875
Editeur : Springer, 2014
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