Dmitry Korshunov – författare & böcker

Markov Chains with Asymptotically Zero Drift

Lamperti's Problem

AvVitali Wachtel,Dmitry Korshunovm. fl.

E-bok

PDF, Engelska, 2025

1 832 kr

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Del 51 - New Mathematical Monographs

Markov Chains with Asymptotically Zero Drift

Lamperti's Problem

AvDenis Denisov,Dmitry Korshunovm. fl.

Inbunden, Engelska, 2025

1 621 kr

Skickas inom 7-10 vardagar

This text examines Markov chains whose drift tends to zero at infinity, a topic sometimes labelled as 'Lamperti's problem'. It can be considered a subcategory of random walks, which are helpful in studying stochastic models like branching processes and queueing systems. Drawing on Doob's h-transform and other tools, the authors present novel results and techniques, including a change-of-measure technique for near-critical Markov chains. The final chapter presents a range of applications where these special types of Markov chains occur naturally, featuring a new risk process with surplus-dependent premium rate. This will be a valuable resource for researchers and graduate students working in probability theory and stochastic processes.

Introduction to Heavy-Tailed and Subexponential Distributions

AvStan Zachary,Dmitry Korshunovm. fl.

E-bok

Engelska, 2011

1 140 kr

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This monograph provides a complete and comprehensive introduction to the theory of long-tailed and subexponential distributions in one dimension. New results are presented in a simple, coherent and systematic way. All the standard properties of such convolutions are then obtained as easy consequences of these results. The book focuses on more theoretical aspects. A discussion of where the areas of applications currently stand in included as is some preliminary mathematical material. Mathematical modelers (for e.g. in finance and environmental science) and statisticians will find this book useful.

Introduction to Heavy-Tailed and Subexponential Distributions

AvSergey Foss,Dmitry Korshunovm. fl.

Inbunden, Engelska, 2013

653 kr

Skickas inom 10-15 vardagar

Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions.One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way.Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.

Introduction to Heavy-Tailed and Subexponential Distributions

AvStan Zachary,Dmitry Korshunovm. fl.

E-bok

PDF, Engelska, 2013

712 kr

Läs direkt efter köp

Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions.

One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way.

Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.

Introduction to Heavy-Tailed and Subexponential Distributions

AvSergey Foss,Dmitry Korshunovm. fl.

Häftad, Engelska, 2015

545 kr

Skickas inom 10-15 vardagar

Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions.One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way.Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.

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Dmitry Korshunov – författare

Markov Chains with Asymptotically Zero Drift

Markov Chains with Asymptotically Zero Drift

Introduction to Heavy-Tailed and Subexponential Distributions

Introduction to Heavy-Tailed and Subexponential Distributions

Introduction to Heavy-Tailed and Subexponential Distributions

Introduction to Heavy-Tailed and Subexponential Distributions

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