Fluctuations Of Spectrally Negative Markov Additive Processes

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Fluctuations Of Spectrally Negative Markov Additive Processes

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Author : Andreas E. Kyprianou
language : en
Publisher:
Release Date : 2003

Fluctuations Of Spectrally Negative Markov Additive Processes written by Andreas E. Kyprianou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

S Minaire De Probabilit S Xli

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Author : Catherine Donati-Martin
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-05-07

S Minaire De Probabilit S Xli written by Catherine Donati-Martin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-07 with Mathematics categories.

Stochastic processes are as usual the main subject of the Séminaire, with contributions on Brownian motion (fractional or other), Lévy processes, martingales and probabilistic finance. Other probabilistic themes are also present: large random matrices, statistical mechanics. The contributions in this volume provide a sampling of recent results on these topics. All contributions with the exception of two are written in English language.

S Minaire De Probabilit S Li

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Author : Catherine Donati-Martin
language : en
Publisher: Springer Nature
Release Date : 2022-05-13

S Minaire De Probabilit S Li written by Catherine Donati-Martin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-13 with Mathematics categories.

This volume presents a selection of texts that reflects the current research streams in probability, with an interest toward topics such as filtrations, Markov processes and Markov chains as well as large deviations, Stochastic Partial Differential equations, rough paths theory, quantum probabilities and percolation on graphs. The featured contributors are R. L. Karandikar and B. V. Rao, C. Leuridan, M. Vidmar, L. Miclo and P. Patie, A. Bernou, M.-E. Caballero and A. Rouault, J. Dedecker, F. Merlevède and E. Rio, F. Brosset, T. Klein, A. Lagnoux and P. Petit, C. Marinelli and L. Scarpa, C. Castaing, N. Marie and P. Raynaud de Fitte, S. Attal, J. Deschamps and C. Pellegrini, and N. Eisenbaum.

Queues And L Vy Fluctuation Theory

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Author : Krzysztof Dębicki
language : en
Publisher: Springer
Release Date : 2015-08-06

Queues And L Vy Fluctuation Theory written by Krzysztof Dębicki and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-06 with Mathematics categories.

The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Lévy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.

S Minaire De Probabilit S Xxxviii

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Author : Michel Émery
language : en
Publisher: Springer
Release Date : 2004-11-15

S Minaire De Probabilit S Xxxviii written by Michel Émery and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-15 with Mathematics categories.

Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions whose topics range from analysis of semi-groups to free probability, via martingale theory, Wiener space and Brownian motion, Gaussian processes and matrices, diffusions and their applications to PDEs. As do all previous volumes of this series, it provides an overview on the current state of the art in the research on stochastic processes.

Issues In Statistics Decision Making And Stochastics 2013 Edition

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Author :
language : en
Publisher: ScholarlyEditions
Release Date : 2013-05-01

Issues In Statistics Decision Making And Stochastics 2013 Edition written by and has been published by ScholarlyEditions this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-01 with Mathematics categories.

Issues in Statistics, Decision Making, and Stochastics: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Regular and Chaotic Dynamics. The editors have built Issues in Statistics, Decision Making, and Stochastics: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Regular and Chaotic Dynamics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Statistics, Decision Making, and Stochastics: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Markov Modulated Processes And Semiregenerative Phenomena

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Author : Loon Ching Tang
language : en
Publisher: World Scientific
Release Date : 2009

Markov Modulated Processes And Semiregenerative Phenomena written by Loon Ching Tang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Mathematics categories.

The book presents a coherent treatment of Markov random walks and Markov additive processes together with their applications. Part I provides the foundations of these stochastic processes underpinned by a solid theoretical framework based on Semiregenerative phenomena. Part II presents some applications to queueing and storage systems.

Lnm

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Author :
language : en
Publisher:
Release Date : 2008

Lnm written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Probabilities categories.

Contents of 1-14 (1966/67-1978/79) in v. 15 (1979/80)

Modern Problems Of Stochastic Analysis And Statistics

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Author : Vladimir Panov
language : en
Publisher: Springer
Release Date : 2017-11-21

Modern Problems Of Stochastic Analysis And Statistics written by Vladimir Panov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-21 with Mathematics categories.

This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.

Fluctuations Of L Vy Processes With Applications

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Author : Andreas E. Kyprianou
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-01-09

Fluctuations Of L Vy Processes With Applications written by Andreas E. Kyprianou and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-09 with Mathematics categories.

Lévy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their application appears in the theory of many areas of classical and modern stochastic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markov processes. This textbook is based on a series of graduate courses concerning the theory and application of Lévy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths in terms of excursions from the running maximum as well as an understanding of short- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recent developments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their application to ruin theory, as well as including an extensive overview of the classical and modern theory of positive self-similar Markov processes. Each chapter has a comprehensive set of exercises.