Marked Point Processes on the Real Line: The Dynamical Approach

by Andreas Brandt and Günter Last

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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.

Format:Hardcover

Language:English

ISBN:0387945474

ISBN13:9780387945477

Release Date:August 1995

Publisher:Springer

Length:490 Pages

Weight:1.95 lbs.

Dimensions:1.1" x 6.1" x 9.2"

Related Subjects

Math Mathematics Science & Math

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Marked Point Processes on the Real Line: The Dynamical Approach

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