Structured dependence between stochastic processes
The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random …
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- Full title :Structured dependence between stochastic processes / Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski.
Summary
The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random variables. Presenting both the technical aspects and the applications of the theory, this is a valuable reference for researchers and practitioners in the field, as well as for graduate students in pure and applied mathematics programs. Numerous theoretical examples are included, alongside examples of both current and potential applications, aimed at helping those who need to model structured dependence between dynamic random phenomena.
Read More ↓Edition Statements
- Publication Date:2020.
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge
- Language:eng
- Publication Date:2020.
The Physical Object
- Description:1 online resource (1 recurso electrónico (viii, 269 páginas)).
Edition Identifiers
- ISBN:9781316650530, 1316650537
- oclc:on1286771122
- Dewey Decimal:519.2/33
Table of Contents
Strong Markov consistency of multivariate Markov families and processes -- Consistency of finite multivariate Markov chains -- Consistency of finite multivariate conditional Markov chains -- Consistency of multivariate special semimartingales -- Strong Markov family structures -- Markov chain structures -- Conditional Markov chain structures -- Special semimartingale structures -- Archimedean survival processes, Markov consistency, ASP structures -- Generalized multivariate Hawkes processes -- Applications of stochastic structures.
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