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Markov Renewal And Piecewise Deterministic Processes
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Book Synopsis Markov Renewal and Piecewise Deterministic Processes by : Christiane Cocozza-Thivent
Download or read book Markov Renewal and Piecewise Deterministic Processes written by Christiane Cocozza-Thivent and published by Springer Nature. This book was released on 2021-06-09 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is aimed at researchers, graduate students and engineers who would like to be initiated to Piecewise Deterministic Markov Processes (PDMPs). A PDMP models a deterministic mechanism modified by jumps that occur at random times. The fields of applications are numerous : insurance and risk, biology, communication networks, dependability, supply management, etc. Indeed, the PDMPs studied so far are in fact deterministic functions of CSMPs (Completed Semi-Markov Processes), i.e. semi-Markov processes completed to become Markov processes. This remark leads to considerably broaden the definition of PDMPs and allows their properties to be deduced from those of CSMPs, which are easier to grasp. Stability is studied within a very general framework. In the other chapters, the results become more accurate as the assumptions become more precise. Generalized Chapman-Kolmogorov equations lead to numerical schemes. The last chapter is an opening on processes for which the deterministic flow of the PDMP is replaced with a Markov process. Marked point processes play a key role throughout this book.
Book Synopsis Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes by : Benoîte de Saporta
Download or read book Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes written by Benoîte de Saporta and published by John Wiley & Sons. This book was released on 2015-12-14 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mark H.A. Davis introduced the Piecewise-Deterministic Markov Process (PDMP) class of stochastic hybrid models in an article in 1984. Today it is used to model a variety of complex systems in the fields of engineering, economics, management sciences, biology, Internet traffic, networks and many more. Yet, despite this, there is very little in the way of literature devoted to the development of numerical methods for PDMDs to solve problems of practical importance, or the computational control of PDMPs. This book therefore presents a collection of mathematical tools that have been recently developed to tackle such problems. It begins by doing so through examples in several application domains such as reliability. The second part is devoted to the study and simulation of expectations of functionals of PDMPs. Finally, the third part introduces the development of numerical techniques for optimal control problems such as stopping and impulse control problems.
Book Synopsis Piecewise Deterministic Markov Processes by : Taleb Salameh Odeh Alkurdi
Download or read book Piecewise Deterministic Markov Processes written by Taleb Salameh Odeh Alkurdi and published by . This book was released on 2013 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Piecewise-deterministic Markov Processes by : M. H. A. Davis
Download or read book Piecewise-deterministic Markov Processes written by M. H. A. Davis and published by . This book was released on 1984 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contributions to the Theory of Piecewise Deterministic Markov Processes and Applications to Generalized Age Processes and Storage Models by : Andreas Löpker
Download or read book Contributions to the Theory of Piecewise Deterministic Markov Processes and Applications to Generalized Age Processes and Storage Models written by Andreas Löpker and published by . This book was released on 2005 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of Piecewise Deterministic Markov Process by : D. Vermes
Download or read book Optimal Control of Piecewise Deterministic Markov Process written by D. Vermes and published by . This book was released on 1985 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Juan Juan Ye Publisher :National Library of Canada = Bibliothèque nationale du Canada ISBN 13 :9780315645134 Total Pages :127 pages Book Rating :4.6/5 (451 download)
Book Synopsis Optimal Control of Piecewise Deterministic Markov Processes by : Juan Juan Ye
Download or read book Optimal Control of Piecewise Deterministic Markov Processes written by Juan Juan Ye and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 1990 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stability Conditions for a Piecewise Deterministic Markov Process by : Giovanni Fonseca
Download or read book Stability Conditions for a Piecewise Deterministic Markov Process written by Giovanni Fonseca and published by . This book was released on 2001 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-modulated Processes & Semiregenerative Phenomena by : Ant¢nio Pacheco
Download or read book Markov-modulated Processes & Semiregenerative Phenomena written by Ant¢nio Pacheco and published by World Scientific. This book was released on 2009 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Telegraph Processes and Option Pricing by : Nikita Ratanov
Download or read book Telegraph Processes and Option Pricing written by Nikita Ratanov and published by Springer Nature. This book was released on 2023-01-04 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together with numerous fruitful applications in financial modelling. Focusing on stochastic processes of bounded variation instead of classical diffusion, or more generally, Lévy processes, has two obvious benefits. First, the mathematical technique is much simpler, which helps to concentrate on the key problems of stochastic analysis and applications, including financial market modelling. Second, this approach overcomes some shortcomings of the (parabolic) nature of classical diffusions that contradict physical intuition, such as infinite propagation velocity and infinite total variation of paths. In this second edition, some sections of the previous text are included without any changes, while most others have been expanded and significantly revised. These are supplemented by predominantly new results concerning piecewise linear processes with arbitrary sequences of velocities, jump amplitudes, and switching intensities. The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes. A new chapter on the multidimensional counterparts of the telegraph processes is also included. The book is intended for graduate students in mathematics, probability, statistics and quantitative finance, and for researchers working at academic institutions, in industry and engineering. It can also be used by university lecturers and professionals in various applied areas.
Book Synopsis Statistical Inference for Piecewise-deterministic Markov Processes by : Romain Azais
Download or read book Statistical Inference for Piecewise-deterministic Markov Processes written by Romain Azais and published by John Wiley & Sons. This book was released on 2018-07-31 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Piecewise-deterministic Markov processes form a class of stochastic models with a sizeable scope of applications: biology, insurance, neuroscience, networks, finance... Such processes are defined by a deterministic motion punctuated by random jumps at random times, and offer simple yet challenging models to study. Nevertheless, the issue of statistical estimation of the parameters ruling the jump mechanism is far from trivial. Responding to new developments in the field as well as to current research interests and needs, Statistical inference for piecewise-deterministic Markov processes offers a detailed and comprehensive survey of state-of-the-art results. It covers a wide range of general processes as well as applied models. The present book also dwells on statistics in the context of Markov chains, since piecewise-deterministic Markov processes are characterized by an embedded Markov chain corresponding to the position of the process right after the jumps.
Book Synopsis Point Process Theory and Applications by : Martin Jacobsen
Download or read book Point Process Theory and Applications written by Martin Jacobsen and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematically rigorous exposition of the basic theory of marked point processes and piecewise deterministic stochastic processes Point processes are constructed from scratch with detailed proofs Includes applications with examples and exercises in survival analysis, branching processes, ruin probabilities, sports (soccer), finance and risk management, and queueing theory Accessible to a wider cross-disciplinary audience
Book Synopsis Cost Optimal Control of Piecewise Deterministic Markov Processes Under Partial Observation by :
Download or read book Cost Optimal Control of Piecewise Deterministic Markov Processes Under Partial Observation written by and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov Processes by : James R. Kirkwood
Download or read book Markov Processes written by James R. Kirkwood and published by CRC Press. This book was released on 2015-02-09 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Clear, rigorous, and intuitive, Markov Processes provides a bridge from an undergraduate probability course to a course in stochastic processes and also as a reference for those that want to see detailed proofs of the theorems of Markov processes. It contains copious computational examples that motivate and illustrate the theorems. The text is desi
Book Synopsis Piecewise Deterministic Markov Processes and Investment Theory Under Uncertainty by : Giorgio Pizzutto
Download or read book Piecewise Deterministic Markov Processes and Investment Theory Under Uncertainty written by Giorgio Pizzutto and published by . This book was released on 1996 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Piecewise Deterministic Markov Process Model for Flexible Maufacturing Systems with Preventive Maintenance by : El-Kébir Boukas
Download or read book A Piecewise Deterministic Markov Process Model for Flexible Maufacturing Systems with Preventive Maintenance written by El-Kébir Boukas and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Piecewise Deterministic Markov Processes Represented by Dynamically Coloured Petri Nets by : Maria Hendrika Clara Everdij
Download or read book Piecewise Deterministic Markov Processes Represented by Dynamically Coloured Petri Nets written by Maria Hendrika Clara Everdij and published by . This book was released on 1999 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
