Discrete-Time Semi-Markov Random Evolutions and Their Applications
暫譯: 離散時間半馬可夫隨機演化及其應用

Limnios, Nikolaos, Swishchuk, Anatoliy

Discrete-Time Semi-Markov Random Evolutions and Their Applications
  • 出版商: Birkhauser Boston
  • 出版日期: 2024-07-26
  • 售價: $5,220
  • 貴賓價: 9.5 折 $4,959
  • 語言: 英文
  • 頁數: 198
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 3031334310
  • ISBN-13: 9783031334313

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商品描述

This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on semi-Markov chains as switching or driving processes. After giving the definitions of discrete-time semi-Markov chains and random evolutions, it presents the asymptotic theory in a functional setting, including weak convergence results in the series scheme, and their extensions in some additional directions, including reduced random media, controlled processes, and optimal stopping. Finally, applications of discrete-time semi-Markov random evolutions in epidemiology and financial mathematics are discussed. This book will be of interest to researchers and graduate students in applied mathematics and statistics, and other disciplines, including engineering, epidemiology, finance and economics, who are concerned with stochastic models of systems.

商品描述(中文翻譯)

本書擴展了隨機演化的理論和應用，針對離散時間的半馬可夫隨機媒介，主要聚焦於半馬可夫鏈作為切換或驅動過程。在給出離散時間半馬可夫鏈和隨機演化的定義後，書中呈現了功能性設定下的漸近理論，包括系列方案中的弱收斂結果，以及在一些額外方向上的擴展，包括簡化隨機媒介、受控過程和最佳停止。最後，書中討論了離散時間半馬可夫隨機演化在流行病學和金融數學中的應用。本書將吸引應用數學和統計學的研究人員及研究生，以及其他學科的讀者，包括工程學、流行病學、金融和經濟學，這些讀者關注系統的隨機模型。

作者簡介

Nikolaos Limnios is a Professor at the Applied Mathematics Laboratory at the Université de Technologie de Compiègne, France. His research interests include stochastic processes, random evolutions, with a focus on semi-Markov processes, and statistics, and applications in reliability, biology, seismology, insurance, and finance. He has published more than 150 journal articles and 10 books on the theory and applications of stochastic processes and statistics. He serves on editorial boards for several research journals.

Anatoliy Swishchuk is a Professor in Mathematical Finance at the Department of Mathematics and Statistics, University of Calgary, Canada. His research areas include financial mathematics, random evolutions and their applications, biomathematics, and stochastic calculus. He serves on editorial boards for several research journals and is the author of more than 180 publications, including 15 books and more than 120 articles in peer-reviewed journals. In 2018 he received a Peak Scholar award.

作者簡介(中文翻譯)

尼科拉斯·林米奧斯是法國康比涅科技大學應用數學實驗室的教授。他的研究興趣包括隨機過程、隨機演化，特別是半馬可夫過程，以及統計學，並應用於可靠性、生物學、地震學、保險和金融等領域。他已發表超過150篇期刊文章和10本有關隨機過程和統計學理論及應用的書籍。他擔任多個研究期刊的編輯委員會成員。

阿納托利·斯維什丘克是加拿大卡爾加里大學數學與統計系的數學金融教授。他的研究領域包括金融數學、隨機演化及其應用、生物數學和隨機微積分。他擔任多個研究期刊的編輯委員會成員，並且是超過180篇出版物的作者，包括15本書籍和120多篇經過同行評審的期刊文章。2018年，他獲得了峰值學者獎。

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