Discrete-Time Semi-Markov Random Evolutions and Their Applications (Probability and Its Applications) - Softcover

Limnios, Nikolaos; Swishchuk, Anatoliy

 
9783031334313: Discrete-Time Semi-Markov Random Evolutions and Their Applications (Probability and Its Applications)
Softcover
ISBN 10: 3031334310 ISBN 13: 9783031334313
Publisher: Birkhäuser, 2024

Synopsis

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.

"synopsis" may belong to another edition of this title.

About the Author

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.

From the Back Cover

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.

"About this title" may belong to another edition of this title.

Publisher
Birkhäuser
Publication date
2024
Language
English
ISBN 10 
3031334310
ISBN 13 
9783031334313
Binding
Paperback
Number of pages
214

Other Popular Editions of the Same Title

9783031334283: Discrete-Time Semi-Markov Random Evolutions and Their Applications (Probability and Its Applications (duplicate))

Featured Edition

ISBN 10:  3031334280 ISBN 13:  9783031334283
Publisher: Birkhäuser, 2023
Hardcover