This invaluable book provides approximately 100 examples illustrating the theory of controlled discrete-time Markov processes. Except for applications of the theory to real-life problems like stock exchange, queues, gambling, optimal search etc., the main attention is paid to co…
Drawing on the authors' extensive research in the analysis of categorical longitudinal data, Latent Markov Models for Longitudinal Data focuses on the formulation of latent Markov models and the practical use of these models. Numerous examples illustrate how latent Markov models…
This handbook provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques modelling of default of both single and multiple entities counterparty risk, Gaussian and non-Gaussia…
by Williams, David, Rogers, Leonard C. G.
fromDiffusions, Markov processes, and martingales
