Structured Dependence between Stochastic Processes
£110.00
Part of Encyclopedia of Mathematics and its Applications
- Authors:
- Tomasz R. Bielecki, Illinois Institute of Technology
- Jacek Jakubowski, Uniwersytet Warszawski, Poland
- Mariusz Niewȩgłowski, Politechnika Warszawska, Poland
- Date Published: August 2020
- availability: Available
- format: Hardback
- isbn: 9781107154254
£
110.00
Hardback
Other available formats:
eBook
Looking for an inspection copy?
This title is not currently available on inspection
-
The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random variables. Presenting both the technical aspects and the applications of the theory, this is a valuable reference for researchers and practitioners in the field, as well as for graduate students in pure and applied mathematics programs. Numerous theoretical examples are included, alongside examples of both current and potential applications, aimed at helping those who need to model structured dependence between dynamic random phenomena.
Read more- Provides a consistent presentation of mathematical methods used for the purpose of analysis and modeling of structured dependence between random processes
- Summarizes the underlying non-standard required mathematical material to make the theory accessible to readers without specialized training
- Includes numerous examples of existing and potential applications of the theory as well as theoretical examples, making it a suitable reference for practitioners in these fields
Reviews & endorsements
'This is a timely book on an important topic, and it is well written.' John Masson Noble, MathSciNet
See more reviews'The authors follow good traditions, starting with exact definitions, commenting on essential properties, asking appropriate questions, formulating theorems, lemmas or propositions and giving explicit conditions under which complete proofs are provided for the statements.' Jordan M. Stoyanov, zbMATH
Customer reviews
Not yet reviewed
Be the first to review
Review was not posted due to profanity
×Product details
- Date Published: August 2020
- format: Hardback
- isbn: 9781107154254
- length: 278 pages
- dimensions: 240 x 165 x 25 mm
- weight: 0.6kg
- availability: Available
Table of Contents
1. Introduction
Part I. Consistencies:
2. Strong Markov consistency of multivariate Markov families and processes
3. Consistency of finite multivariate Markov chains
4. Consistency of finite multivariate conditional Markov chains
5. Consistency of multivariate special semimartingales
Part II. Structures:
6. Strong Markov family structures
7. Markov chain structures
8. Conditional Markov chain structures
9. Special semimartingale structures Part III. Further Developments:
10. Archimedean survival processes, Markov consistency, ASP structures
11. Generalized multivariate Hawkes processes
Part IV. Applications of Stochastic Structures:
12. Applications of stochastic structures
Appendix A. Stochastic analysis: selected concepts and results used in this book
Appendix B. Markov processes and Markov families
Appendix C. Finite Markov chains: auxiliary technical framework
Appendix D. Crash course on conditional Markov chains and on doubly stochastic Markov chains
Appendix E. Evolution systems and semigroups of linear operators
Appendix F. Martingale problem: some new results needed in this book
Appendix G. Function spaces and pseudo-differential operators
References
Notation index
Subject index.
Related Books
related journals
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org
Register Sign in» Proceed
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.
Continue ×Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.
×