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

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Description

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.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
10 August 1995
Listed Since
12 January 2007

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