Piecewise Deterministic Markov Processes

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Piecewise Deterministic Processes in Biological Models

Author : Ryszard Rudnicki
Publisher : Springer
ISBN 13 : 3319612956
Total Pages : 177 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Piecewise Deterministic Processes in Biological Models by : Ryszard Rudnicki

Download or read book Piecewise Deterministic Processes in Biological Models written by Ryszard Rudnicki and published by Springer. This book was released on 2017-07-20 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise introduction to piecewise deterministic Markov processes (PDMPs), with particular emphasis on their applications to biological models. Further, it presents examples of biological phenomena, such as gene activity and population growth, where different types of PDMPs appear: continuous time Markov chains, deterministic processes with jumps, processes with switching dynamics, and point processes. Subsequent chapters present the necessary tools from the theory of stochastic processes and semigroups of linear operators, as well as theoretical results concerning the long-time behaviour of stochastic semigroups induced by PDMPs and their applications to biological models. As such, the book offers a valuable resource for mathematicians and biologists alike. The first group will find new biological models that lead to interesting and often new mathematical questions, while the second can observe how to include seemingly disparate biological proc esses into a unified mathematical theory, and to arrive at revealing biological conclusions. The target audience primarily comprises of researchers in these two fields, but the book will also benefit graduate students.

Continuous Average Control of Piecewise Deterministic Markov Processes

Author : Oswaldo Luiz do Valle Costa
Publisher : Springer Science & Business Media
ISBN 13 : 146146983X
Total Pages : 124 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Continuous Average Control of Piecewise Deterministic Markov Processes by : Oswaldo Luiz do Valle Costa

Download or read book Continuous Average Control of Piecewise Deterministic Markov Processes written by Oswaldo Luiz do Valle Costa and published by Springer Science & Business Media. This book was released on 2013-04-12 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The intent of this book is to present recent results in the control theory for the long run average continuous control problem of piecewise deterministic Markov processes (PDMPs). The book focuses mainly on the long run average cost criteria and extends to the PDMPs some well-known techniques related to discrete-time and continuous-time Markov decision processes, including the so-called ``average inequality approach'', ``vanishing discount technique'' and ``policy iteration algorithm''. We believe that what is unique about our approach is that, by using the special features of the PDMPs, we trace a parallel with the general theory for discrete-time Markov Decision Processes rather than the continuous-time case. The two main reasons for doing that is to use the powerful tools developed in the discrete-time framework and to avoid working with the infinitesimal generator associated to a PDMP, which in most cases has its domain of definition difficult to be characterized. Although the book is mainly intended to be a theoretically oriented text, it also contains some motivational examples. The book is targeted primarily for advanced students and practitioners of control theory. The book will be a valuable source for experts in the field of Markov decision processes. Moreover, the book should be suitable for certain advanced courses or seminars. As background, one needs an acquaintance with the theory of Markov decision processes and some knowledge of stochastic processes and modern analysis.

Statistical Inference for Piecewise-deterministic Markov Processes

Author : Romain Azais
Publisher : John Wiley & Sons
ISBN 13 : 1119544033
Total Pages : 279 pages
Book Rating : 4.1/5 (195 download)

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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.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott by : Samuel N Cohen

Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Markov Renewal and Piecewise Deterministic Processes

Author : Christiane Cocozza-Thivent
Publisher : Springer Nature
ISBN 13 : 3030704475
Total Pages : 252 pages
Book Rating : 4.0/5 (37 download)

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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.

Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes

Author : Benoîte de Saporta
Publisher : John Wiley & Sons
ISBN 13 : 1848218397
Total Pages : 298 pages
Book Rating : 4.8/5 (482 download)

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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 2016-01-26 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.

Point Process Theory and Applications

Author : Martin Jacobsen
Publisher : Springer Science & Business Media
ISBN 13 : 0817644636
Total Pages : 325 pages
Book Rating : 4.8/5 (176 download)

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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

Markov Decision Processes with Applications to Finance

Author : Nicole Bäuerle
Publisher : Springer Science & Business Media
ISBN 13 : 3642183247
Total Pages : 393 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Markov Decision Processes with Applications to Finance by : Nicole Bäuerle

Download or read book Markov Decision Processes with Applications to Finance written by Nicole Bäuerle and published by Springer Science & Business Media. This book was released on 2011-06-06 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).

Piecewise Deterministic Markov Processes

Author : Taleb Salameh Odeh Alkurdi
Publisher :
ISBN 13 :
Total Pages : 131 pages
Book Rating : 4.:/5 (855 download)

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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:

Markov Models & Optimization

Author : M.H.A. Davis
Publisher : Routledge
ISBN 13 : 1351433490
Total Pages : 308 pages
Book Rating : 4.3/5 (514 download)

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Book Synopsis Markov Models & Optimization by : M.H.A. Davis

Download or read book Markov Models & Optimization written by M.H.A. Davis and published by Routledge. This book was released on 2018-02-19 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a radically new approach to problems of evaluating and optimizing the performance of continuous-time stochastic systems. This approach is based on the use of a family of Markov processes called Piecewise-Deterministic Processes (PDPs) as a general class of stochastic system models. A PDP is a Markov process that follows deterministic trajectories between random jumps, the latter occurring either spontaneously, in a Poisson-like fashion, or when the process hits the boundary of its state space. This formulation includes an enormous variety of applied problems in engineering, operations research, management science and economics as special cases; examples include queueing systems, stochastic scheduling, inventory control, resource allocation problems, optimal planning of production or exploitation of renewable or non-renewable resources, insurance analysis, fault detection in process systems, and tracking of maneuvering targets, among many others. The first part of the book shows how these applications lead to the PDP as a system model, and the main properties of PDPs are derived. There is particular emphasis on the so-called extended generator of the process, which gives a general method for calculating expectations and distributions of system performance functions. The second half of the book is devoted to control theory for PDPs, with a view to controlling PDP models for optimal performance: characterizations are obtained of optimal strategies both for continuously-acting controllers and for control by intervention (impulse control). Throughout the book, modern methods of stochastic analysis are used, but all the necessary theory is developed from scratch and presented in a self-contained way. The book will be useful to engineers and scientists in the application areas as well as to mathematicians interested in applications of stochastic analysis.

Statistical Topics and Stochastic Models for Dependent Data with Applications

Author : Vlad Stefan Barbu
Publisher : John Wiley & Sons
ISBN 13 : 1786306034
Total Pages : 288 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Statistical Topics and Stochastic Models for Dependent Data with Applications by : Vlad Stefan Barbu

Download or read book Statistical Topics and Stochastic Models for Dependent Data with Applications written by Vlad Stefan Barbu and published by John Wiley & Sons. This book was released on 2020-12-03 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collective volume authored by leading scientists in the field of stochastic modelling, associated statistical topics and corresponding applications. The main classes of stochastic processes for dependent data investigated throughout this book are Markov, semi-Markov, autoregressive and piecewise deterministic Markov models. The material is divided into three parts corresponding to: (i) Markov and semi-Markov processes, (ii) autoregressive processes and (iii) techniques based on divergence measures and entropies. A special attention is payed to applications in reliability, survival analysis and related fields.

Piecewise-deterministic Markov Processes

Author : M. H. A. Davis
Publisher :
ISBN 13 :
Total Pages : 388 pages
Book Rating : 4.:/5 (756 download)

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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:

Stochastic Dynamics Out of Equilibrium

Author : Giambattista Giacomin
Publisher : Springer
ISBN 13 : 3030150968
Total Pages : 649 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Stochastic Dynamics Out of Equilibrium by : Giambattista Giacomin

Download or read book Stochastic Dynamics Out of Equilibrium written by Giambattista Giacomin and published by Springer. This book was released on 2019-06-30 with total page 649 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stemming from the IHP trimester "Stochastic Dynamics Out of Equilibrium", this collection of contributions focuses on aspects of nonequilibrium dynamics and its ongoing developments. It is common practice in statistical mechanics to use models of large interacting assemblies governed by stochastic dynamics. In this context "equilibrium" is understood as stochastically (time) reversible dynamics with respect to a prescribed Gibbs measure. Nonequilibrium dynamics correspond on the other hand to irreversible evolutions, where fluxes appear in physical systems, and steady-state measures are unknown. The trimester, held at the Institut Henri Poincaré (IHP) in Paris from April to July 2017, comprised various events relating to three domains (i) transport in non-equilibrium statistical mechanics; (ii) the design of more efficient simulation methods; (iii) life sciences. It brought together physicists, mathematicians from many domains, computer scientists, as well as researchers working at the interface between biology, physics and mathematics. The present volume is indispensable reading for researchers and Ph.D. students working in such areas.

Contributions to the Theory of Piecewise Deterministic Markov Processes and Applications to Generalized Age Processes and Storage Models

Download Contributions to the Theory of Piecewise Deterministic Markov Processes and Applications to Generalized Age Processes and Storage Models PDF Online Free

Author : Andreas Löpker
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (179 download)

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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:

Extended Abstracts Spring 2016

Author : Alessandro Colombo
Publisher : Birkhäuser
ISBN 13 : 3319556428
Total Pages : 187 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Extended Abstracts Spring 2016 by : Alessandro Colombo

Download or read book Extended Abstracts Spring 2016 written by Alessandro Colombo and published by Birkhäuser. This book was released on 2017-05-24 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains extended abstracts outlining selected talks and other selected presentations given by participants throughout the "Intensive Research Program on Advances in Nonsmooth Dynamics 2016", held at the Centre de Recerca Matemàtica (CRM) in Barcelona from February 1st to April 29th, 2016. They include brief research articles reporting new results, descriptions of preliminary work or open problems, and outlines of prominent discussion sessions. The articles are all the result of direct collaborations initiated during the research program. The topic is the theory and applications of Nonsmooth Dynamics. This includes systems involving elements of: impacting, switching, on/off control, hybrid discrete-continuous dynamics, jumps in physical properties, and many others. Applications include: electronics, climate modeling, life sciences, mechanics, ecology, and more. Numerous new results are reported concerning the dimensionality and robustness of nonsmooth models, shadowing variables, numbers of limit cycles, discontinuity-induced bifurcations and chaos, determinacy-breaking, stability criteria, and the classification of attractors and other singularities. This material offers a variety of new exciting problems to mathematicians, but also a diverse range of new tools and insights for scientists and engineers making use of mathematical modeling and analysis. The book is intended for established researchers, as well as for PhD and postdoctoral students who want to learn more about the latest advances in these highly active areas of research.

Optimal Control of Piecewise Deterministic Markov Processes

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)

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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:

Markov Chains and Stochastic Stability

Author : Sean Meyn
Publisher : Cambridge University Press
ISBN 13 : 0521731828
Total Pages : 623 pages
Book Rating : 4.5/5 (217 download)

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Book Synopsis Markov Chains and Stochastic Stability by : Sean Meyn

Download or read book Markov Chains and Stochastic Stability written by Sean Meyn and published by Cambridge University Press. This book was released on 2009-04-02 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: New up-to-date edition of this influential classic on Markov chains in general state spaces. Proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background. New commentary by Sean Meyn, including updated references, reflects developments since 1996.