Marked Point Processes on the Real Line: The Dynamical Approach

Hardcover | August 10, 1995

byGünter Last, Andreas Brandt, Andreas Brandt

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This book gives a self-contained introduction to the dynamic martingale approach to marked point processes (MPP). Based on the notion of a compensator, this approach gives a versatile tool for analyzing and describing the stochastic properties of an MPP. In particular, the authors discuss the relationship of an MPP to its compensator and particular classes of MPP are studied in great detail. The theory is applied to study properties of dependent marking and thinning, to prove results on absolute continuity of point process distributions, to establish sufficient conditions for stochastic ordering between point and jump processes, and to solve the filtering problem for certain classes of MPPs.

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From the Publisher

This book gives a self-contained introduction to the dynamic martingale approach to marked point processes (MPP). Based on the notion of a compensator, this approach gives a versatile tool for analyzing and describing the stochastic properties of an MPP. In particular, the authors discuss the relationship of an MPP to its compensator a...

Format:HardcoverDimensions:522 pages, 9.21 × 6.14 × 0.04 inPublished:August 10, 1995Publisher:Springer New York

The following ISBNs are associated with this title:

ISBN - 10:0387945474

ISBN - 13:9780387945477

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"It is obvious that the authors have had fun in writing this book; they want to share their enthusiasm for the subject with a broad readership...The authors are to be congratulated on the final product." (International Statistical Institute short book reviews)