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Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and application / / Ph. Barbe, W.P. McCormick
| Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and application / / Ph. Barbe, W.P. McCormick |
| Autore | Barbe Philippe |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 2009 |
| Descrizione fisica | 1 online resource (133 p.) |
| Disciplina | 519.2/4 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico |
Distribution (Probability theory) - Mathematical models
Asymptotic expansions Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-4704-0528-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""1. Introduction""; ""1.1. Prolegomenom""; ""1.2. Mathematical overview and heuristics""; ""2. Main result""; ""2.1. Some notation""; ""2.2. Asymptotic scales""; ""2.3. The Laplace characters""; ""2.4. Smoothly varying functions of finite order""; ""2.5. Asymptotic expansion for in finite weighted convolution""; ""3. Implementing the expansion""; ""3.1. How many terms are in the expansion?""; ""3.2. [sub(*)]-Asymptotic scales and functions of class m""; ""3.3. Tail calculus: From Laplace characters to linear algebra""; ""3.4. Some examples""
""3.5. Two terms expansion and second order regular variation""""3.6. Some open questions""; ""4. Applications""; ""4.1. ARMA models""; ""4.2. Tail index estimation""; ""4.3. Randomly weighted sums""; ""4.4. Compound sums""; ""4.5. Queueing theory""; ""4.6. Branching processes""; ""4.7. Infinitely divisible distributions""; ""4.8. Implicit transient renewal equation and iterative systems""; ""5. Preparing the proof""; ""5.1. Properties of Laplace characters""; ""5.2. Properties of smoothly varying functions of finite order""; ""6. Proof in the positive case"" ""6.1. Decomposition of the convolution into integral and multiplication operators""""6.2. Organizing the proof""; ""6.3. Regular variation and basic tail estimates""; ""6.4. The fundamental estimate""; ""6.5. Basic lemmas""; ""6.6. Inductions""; ""6.7. Conclusion""; ""7. Removing the sign restriction on the random variables""; ""7.1. Elementary properties of U[sub(H)]""; ""7.2. Basic expansion of U[sub(H)]""; ""7.3. A technical lemma""; ""7.4. Conditional expansion and removing conditioning""; ""8. Removing the sign restriction on the constants"" ""8.1. Neglecting terms involving the multiplication operators""""8.2. Substituting H[sup((k))] and G[sup((k))] by their expansions""; ""9. Removing the smoothness restriction""; ""Appendix. Maple code""; ""Bibliography"" |
| Record Nr. | UNINA-9910480112803321 |
Barbe Philippe
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and application / / Ph. Barbe, W.P. McCormick
| Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and application / / Ph. Barbe, W.P. McCormick |
| Autore | Barbe Philippe |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 2009 |
| Descrizione fisica | 1 online resource (133 p.) |
| Disciplina | 519.2/4 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico |
Distribution (Probability theory) - Mathematical models
Asymptotic expansions Stochastic processes |
| ISBN | 1-4704-0528-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""1. Introduction""; ""1.1. Prolegomenom""; ""1.2. Mathematical overview and heuristics""; ""2. Main result""; ""2.1. Some notation""; ""2.2. Asymptotic scales""; ""2.3. The Laplace characters""; ""2.4. Smoothly varying functions of finite order""; ""2.5. Asymptotic expansion for in finite weighted convolution""; ""3. Implementing the expansion""; ""3.1. How many terms are in the expansion?""; ""3.2. [sub(*)]-Asymptotic scales and functions of class m""; ""3.3. Tail calculus: From Laplace characters to linear algebra""; ""3.4. Some examples""
""3.5. Two terms expansion and second order regular variation""""3.6. Some open questions""; ""4. Applications""; ""4.1. ARMA models""; ""4.2. Tail index estimation""; ""4.3. Randomly weighted sums""; ""4.4. Compound sums""; ""4.5. Queueing theory""; ""4.6. Branching processes""; ""4.7. Infinitely divisible distributions""; ""4.8. Implicit transient renewal equation and iterative systems""; ""5. Preparing the proof""; ""5.1. Properties of Laplace characters""; ""5.2. Properties of smoothly varying functions of finite order""; ""6. Proof in the positive case"" ""6.1. Decomposition of the convolution into integral and multiplication operators""""6.2. Organizing the proof""; ""6.3. Regular variation and basic tail estimates""; ""6.4. The fundamental estimate""; ""6.5. Basic lemmas""; ""6.6. Inductions""; ""6.7. Conclusion""; ""7. Removing the sign restriction on the random variables""; ""7.1. Elementary properties of U[sub(H)]""; ""7.2. Basic expansion of U[sub(H)]""; ""7.3. A technical lemma""; ""7.4. Conditional expansion and removing conditioning""; ""8. Removing the sign restriction on the constants"" ""8.1. Neglecting terms involving the multiplication operators""""8.2. Substituting H[sup((k))] and G[sup((k))] by their expansions""; ""9. Removing the smoothness restriction""; ""Appendix. Maple code""; ""Bibliography"" |
| Record Nr. | UNINA-9910788853703321 |
|
Barbe Philippe
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and application / / Ph. Barbe, W.P. McCormick
| Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and application / / Ph. Barbe, W.P. McCormick |
| Autore | Barbe Philippe |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 2009 |
| Descrizione fisica | 1 online resource (133 p.) |
| Disciplina | 519.2/4 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico |
Distribution (Probability theory) - Mathematical models
Asymptotic expansions Stochastic processes |
| ISBN | 1-4704-0528-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""1. Introduction""; ""1.1. Prolegomenom""; ""1.2. Mathematical overview and heuristics""; ""2. Main result""; ""2.1. Some notation""; ""2.2. Asymptotic scales""; ""2.3. The Laplace characters""; ""2.4. Smoothly varying functions of finite order""; ""2.5. Asymptotic expansion for in finite weighted convolution""; ""3. Implementing the expansion""; ""3.1. How many terms are in the expansion?""; ""3.2. [sub(*)]-Asymptotic scales and functions of class m""; ""3.3. Tail calculus: From Laplace characters to linear algebra""; ""3.4. Some examples""
""3.5. Two terms expansion and second order regular variation""""3.6. Some open questions""; ""4. Applications""; ""4.1. ARMA models""; ""4.2. Tail index estimation""; ""4.3. Randomly weighted sums""; ""4.4. Compound sums""; ""4.5. Queueing theory""; ""4.6. Branching processes""; ""4.7. Infinitely divisible distributions""; ""4.8. Implicit transient renewal equation and iterative systems""; ""5. Preparing the proof""; ""5.1. Properties of Laplace characters""; ""5.2. Properties of smoothly varying functions of finite order""; ""6. Proof in the positive case"" ""6.1. Decomposition of the convolution into integral and multiplication operators""""6.2. Organizing the proof""; ""6.3. Regular variation and basic tail estimates""; ""6.4. The fundamental estimate""; ""6.5. Basic lemmas""; ""6.6. Inductions""; ""6.7. Conclusion""; ""7. Removing the sign restriction on the random variables""; ""7.1. Elementary properties of U[sub(H)]""; ""7.2. Basic expansion of U[sub(H)]""; ""7.3. A technical lemma""; ""7.4. Conditional expansion and removing conditioning""; ""8. Removing the sign restriction on the constants"" ""8.1. Neglecting terms involving the multiplication operators""""8.2. Substituting H[sup((k))] and G[sup((k))] by their expansions""; ""9. Removing the smoothness restriction""; ""Appendix. Maple code""; ""Bibliography"" |
| Record Nr. | UNINA-9910817264803321 |
|
Barbe Philippe
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Atti del convegno "Ricordo di Bruno De Finetti, professore nell'Ateneo triestino" : Trieste, 30 - 31 Maggio 1986 / Dip. Mat. Appl. "Bruno De Finetti"
| Atti del convegno "Ricordo di Bruno De Finetti, professore nell'Ateneo triestino" : Trieste, 30 - 31 Maggio 1986 / Dip. Mat. Appl. "Bruno De Finetti" |
| Autore | Università degli Studi <Trieste> : Dipartimento di matematica applicata "Bruno De Finetti" |
| Pubbl/distr/stampa | Trieste : Dip. Mat. Appl. "Bruno De Finetti", 1987 |
| Descrizione fisica | 203 p. ; 23 cm. |
| Disciplina | 519.2 |
| Altri autori (Persone) | De Finetti, Bruno |
| Soggetto topico |
Probability theory
Stochastic processes |
| Classificazione |
AMS 00A10 (1985)
AMS 60-06 AMS 60-XX |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISALENTO-991000706589707536 |
|
Università degli Studi <Trieste> : Dipartimento di matematica applicata "Bruno De Finetti"
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| Trieste : Dip. Mat. Appl. "Bruno De Finetti", 1987 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Basic stochastic processes : a course through exercises / Zdzislaw Brzezniak and Tomasz Zastawniak
| Basic stochastic processes : a course through exercises / Zdzislaw Brzezniak and Tomasz Zastawniak |
| Autore | Brzezniak, Zdzislaw |
| Pubbl/distr/stampa | London : Springer, c1999 |
| Descrizione fisica | x, 225 p. : ill. ; 24 cm |
| Disciplina | 519.2 |
| Altri autori (Persone) | Zastawniak, Tomaszauthor |
| Collana | Springer undergraduate mathematics series, 1615-2085 |
| Soggetto topico | Stochastic processes |
| ISBN | 3540761756 |
| Classificazione |
AMS 60-01
AMS 60G05 AMS 60G42 LC QA274.B78 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000882209707536 |
|
Brzezniak, Zdzislaw
|
||
| London : Springer, c1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (327 pages) |
| Disciplina | 519.2 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico | Stochastic processes |
| ISBN |
1-119-18454-1
1-119-18457-6 1-119-18458-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models. |
| Record Nr. | UNINA-9910131640803321 |
|
Devolder Pierre
|
||
| London, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (327 pages) |
| Disciplina | 519.2 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico | Stochastic processes |
| ISBN |
1-119-18454-1
1-119-18457-6 1-119-18458-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models. |
| Record Nr. | UNINA-9910816655903321 |
|
Devolder Pierre
|
||
| London, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bayesian analysis of stochastic process models / / David Rios Insua, Fabrizio Ruggeri, Michael P. Wiper
| Bayesian analysis of stochastic process models / / David Rios Insua, Fabrizio Ruggeri, Michael P. Wiper |
| Autore | Rios Insua David <1964-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (316 p.) |
| Disciplina | 519.5/42 |
| Altri autori (Persone) |
WiperMichael P
RuggeriFabrizio |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Bayesian statistical decision theory
Stochastic processes |
| ISBN |
1-280-58993-0
9786613619761 1-118-30403-9 0-470-97591-1 0-470-97592-X |
| Classificazione | MAT029010 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface 1 Stochastic Processes 11 1.1 Introduction 11 1.2 Key Concepts in Stochastic Processes 11 1.3 Main Classes of Stochastic Processes 16 1.4 Inference, Prediction and Decision Making 21 1.5 Discussion 23 2 Bayesian Analysis 27 2.1 Introduction 27 2.2 Bayesian Statistics 28 2.3 Bayesian Decision Analysis 37 2.4 Bayesian Computation 39 2.5 Discussion 51 3 Discrete Time Markov Chains 61 3.1 Introduction 61 3.2 Important Markov Chain Models 62 3.3 Inference for First Order Chains 66 3.4 Special Topics 76 3.5 Case Study: Wind Directions at Gij́on 87 3.6 Markov Decision Processes 94 3.7 Discussion 97 4 Continuous Time Markov Chains and Extensions 105 4.1 Introduction 105 4.2 Basic Setup and Results 106 4.3 Inference and Prediction for CTMCs 108 4.4 Case Study: Hardware Availability through CTMCs 112 4.5 Semi-Markovian Processes 118 4.6 Decision Making with Semi-Markovian Decision Processes 122 4.7 Discussion 128 5 Poisson Processes and Extensions 133 5.1 Introduction 133 5.2 Basics on Poisson Processes 134 5.3 Homogeneous Poisson Processes 138 5.4 Nonhomogeneous Poisson Processes 147 5.5 Compound Poisson Processes 153 5.6 Further Extensions of Poisson Processes 154 5.7 Case Study: Earthquake Occurrences 157 5.8 Discussion 162 6 Continuous Time Continuous Space Processes 169 6.1 Introduction 169 6.2 Gaussian Processes 170 6.3 Brownian Motion and Fractional Brownian Motion 174 6.4 Dilusions 181 6.5 Case Study: Prey-predator Systems 184 6.6 Discussion 190 7 Queueing Analysis 201 7.1 Introduction 201 7.2 Basic Queueing Concepts 201 7.3 The Main Queueing Models 204 7.4 Inference for Queueing Systems 208 7.5 Inference for M=M=1 Systems 209 7.6 Inference for Non Markovian Systems 220 7.7 Decision Problems in Queueing Systems 229 7.8 Case Study: Optimal Number of Beds in a Hospital 230 7.9 Discussion 235 8 Reliability 245 8.1 Introduction 245 8.2 Basic Reliability Concepts 246 8.3 Renewal Processes 249 8.4 Poisson Processes 251 8.5 Other Processes 259 8.6 Maintenance 262 8.7 Case Study: Gas Escapes 263 8.8 Discussion 271 9 Discrete Event Simulation 279 9.1 Introduction 279 9.2 Discrete Event Simulation Methods 280 9.3 A Bayesian View of DES 283 9.4 Case Study: A G=G=1 Queueing System 286 9.5 Bayesian Output Analysis 288 9.6 Simulation and Optimization 292 9.7 Discussion 294 10 Risk Analysis 301 10.1 Introduction 301 10.2 Risk Measures 302 10.3 Ruin Problems 316 10.4 Case Study: Ruin Probability Estimation 320 10.5 Discussion 327 Appendix A Main Distributions 337 Appendix B Generating Functions and the Laplace-Stieltjes Transform 347 Index. |
| Record Nr. | UNINA-9910141318903321 |
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Rios Insua David <1964->
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| Hoboken, New Jersey, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bounded noises in physics, biology, and engineering / / Alberto d'Onofrio, editor
| Bounded noises in physics, biology, and engineering / / Alberto d'Onofrio, editor |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York : , : Birkhauser, , 2013 |
| Descrizione fisica | 1 online resource (xvi, 285 pages) : illustrations (some color) |
| Disciplina |
003.54
519.2 |
| Collana | Modeling and Simulation in Science, Engineering and Technology |
| Soggetto topico |
Random noise theory
Stochastic processes |
| ISBN | 1-4614-7385-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Part I : Modeling of Bounded Noises and Their Applications in Physics -- On Bounded Stochastic Processes -- Dynamics of Systems With Randomly Disordered Periodic Excitations -- Noise-Induced Phenomena: Effects of Noises Based on Tsallis Statistics -- Dynamical Systems Driven by Dichotomous Noise -- Stochastic Oscillator : Brownian Motion With Adhesion -- Numerical Study of Energetic Stability For Harmonic Oscillator With Fluctuating Damping Parameter -- A Moment-Based Approach to Bounded Non-Gaussian Colored Noise -- Spatiotemporal Bounded Noises, and Their Application to the Ginzburg-Landau Equation -- Part II: Bounded Noises in the Framework of Discrete and Continuous Random Dynamical Systems -- Bifurcations of Random Differential Equations With Bounded Noise -- Effects of Bounded Random Perturbations on Discrete Dynamical Systems -- Part III: Bounded Stochastic Fluctuations in Biology -- Bounded Stochastic Perturbations May Induce Non-Genetic Resistance to Anti-Tumor Chemotherapy -- Interplay Between Cross Correlation and Delays in the Sine-Wienernoise-Induced Transitions -- Bounded Extrinsic Noises Affecting Biochemical Networks With Low Molecule Numbers -- Part IV: Bounded Noises: Applications in Engineering -- Almost Sure Stability of Fractional Viscoelastic Systems Driven By Bounded Noises -- Model Selection for Random Functions With Bounded Range. Applications in Science and Engineering -- From Model-Based to Data-Driven Filter Design. |
| Record Nr. | UNINA-9910438033203321 |
| New York : , : Birkhauser, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Brownian Motion : a guide to random processes and stochastic calculus with a chapter on simulation by björn böttcher / / René L. Schilling
| Brownian Motion : a guide to random processes and stochastic calculus with a chapter on simulation by björn böttcher / / René L. Schilling |
| Autore | Schilling René L. |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Boston, Massachusetts : , : De Gruyter, , [2021] |
| Descrizione fisica | 1 online resource : illustrations |
| Disciplina | 519.233 |
| Collana | De Gruyter textbook |
| Soggetto topico |
Brownian motion processes
Stochastic processes |
| ISBN | 3-11-074127-X |
| Classificazione | SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Preface -- Contents -- Dependence chart -- 1 Robert Brown's new thing -- 2 Brownian motion as a Gaussian process -- 3 Constructions of Brownian motion -- 4 The canonical model -- 5 Brownian motion as a martingale -- 6 Brownian motion as a Markov process -- 7 Brownian motion and transition semigroups -- 8 The PDE connection -- 9 The variation of Brownian paths -- 10 Regularity of Brownian paths -- 11 Brownian motion as a random fractal -- 12 The growth of Brownian paths -- 13 Strassen's functional law of the iterated logarithm -- 14 Skorokhod representation -- 15 Stochastic integrals: L< -- sup> -- 2< -- /sup> -- -Theory -- 16 Stochastic integrals: localization -- 17 Stochastic integrals: martingale drivers -- 18 Itô's formula -- 19 Applications of Itô's formula -- 20 Wiener Chaos and iterated Wiener-Itô integrals -- 21 Stochastic differential equations -- 22 Stratonovich's stochastic calculus -- 23 On diffusions -- 24 Simulation of Brownian motion by Björn Böttcher -- A Appendix -- Bibliography -- Index. |
| Record Nr. | UNINA-9910554280303321 |
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Schilling René L.
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| Boston, Massachusetts : , : De Gruyter, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Stochastic processes
(754)
- Probabilities (117)
- Mathematical statistics (37)
- Markov processes (36)
- Probability theory (33)