Marked Point Processes on the Real Line
The Dynamical Approach
(Sprache: Englisch)
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...
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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.
Bibliographische Angaben
- Autoren: Günter Last , Andreas Brandt
- 1995, 490 Seiten, Maße: 23,4 cm, Gebunden, Englisch
- Verlag: Springer, New York
- ISBN-10: 0387945474
- ISBN-13: 9780387945477
Sprache:
Englisch
Rezension zu „Marked Point Processes on the Real Line “
"It is obvious that the authors have had fun in writing this book; they want to share their enthusiasm for the subject with a broad readership...The authors are to be congratulated on the final product." (International Statistical Institute short book reviews)
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