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3 produkter
3 produkter
Del 51 - New Mathematical Monographs
Markov Chains with Asymptotically Zero Drift
Lamperti's Problem
Inbunden, Engelska, 2025
1 564 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.
Inbunden, Engelska, 2013
646 kr
Skickas inom 10-15 vardagar
Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems.
Häftad, Engelska, 2015
540 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.