Point Processes and Queues
Martingale Dynamics
Published on 28. June 2012
Book
Paperback/Softback
356 pages
978-1-4684-9479-2 (ISBN)
Description
From the Introduction: " The emphasis has been placed on topics of interest in systems science at large...The level of exposition and the inclusion of a large number of exercises with complete detailed solutions make this book usable as a text for graduate students in applied probability, electrical engineering, computer science, and operations research. The prerequisites in probability and random processes are recalled in the Appendices."
More details
Series
Edition
Softcover reprint of the original 1st ed. 1981
Language
English
Place of publication
New York, NY
United States
Target group
Professional and scholarly
Research
Product notice
Paperback (trade)
Illustrations
black & white illustrations
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 19 mm
Weight
575 gr
ISBN-13
978-1-4684-9479-2 (9781468494792)
DOI
10.1007/978-1-4684-9477-8
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Book
09/1981
Springer
€144.40
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Content
I Martingales.- 1. Histories and Stopping Times.- 2. Martingales.- 3. Predictability.- 4. Square-Integrable Martingales.- References.- Solutions to Exercises, Chapter I.- II Point Processes, Queues, and Intensities.- 1. Counting Processes and Queues.- 2. Watanabe's Characterization.- 3. Stochastic Intensity, General Case.- 4. Predictable Intensities.- 5. Representation of Queues.- 6. Random Changes of Time.- 7. Cryptographic Point Processes.- References.- Solutions to Exercises, Chapter II.- III Integral Representation of Point-Process Martingales.- 1. The Structure of Internal Histories.- 2. Regenerative Form of the Intensity.- 3. The Representation Theorem.- 4. Hilbert-Space Theory of Poissonian Martingales.- 5. Useful Extensions.- References.- Solutions to Exercises, Chapter III.- IV Filtering.- 1. The Theory of Innovations.- 2. State Estimates for Queues and Markov Chains.- 3. Continuous States and Nontrivial Prehistory.- References.- Solutions to Exercises, Chapter IV.- V Flows in Markovian Networks of Queues.- 1. Single Station : The Historical Results and the Filtering Method.- 2. Jackson's Networks.- 3. Burke's Output Theorem for Networks.- 4. Cascades and Loops in Jackson's Networks.- 5. Independence and Poissonian Flows in Markov Chains.- References.- Solutions to Exercises, Chapter V.- VI Likelihood Ratios.- 1. Radon-Nikodym Derivatives and Tests of Hypotheses.- 2. Changes of Intensities "a la Girsanov".- 3. Filtering by the Method of the Probability of Reference.- 4. Applications.- 5. The Capacity of a Point-Process Channel.- 6. Detection Formula187 References189 Solutions to Exercises, Chapter VI.- VII Optimal Control.- 1. Modeling Intensity Controls.- 2. Dynamic Programming for Intensity Controls : Complete-Observation Case.- 3. Input Regulation. A Case Study in Impulsive Control.- 4. Attraction Controls.- 5. Existence via Likelihood Ratio.- References.- Solutions to Exercises, Chapter VII.- VIII Marked Point Processes.- 1. Counting Measure and Intensity Kernels.- 2. Martingale Representation and Filtering.- 3. Radon-Nikodym Derivatives.- 4. Towards a General Theory of Intensity.- References.- Solutions to Exercises, Chapter VIII.- A1 Background in Probability and Stochastic Processes.- 1. Introduction.- 2. Monotone Class Theorem.- 3. Random Variables.- 4. Expectations.- 5. Conditioning and Independence.- 6. Convergence.- 7. Stochastic Processes.- 8. Markov Processes.- References.- A2 Stopping Times and Point-Process Histories.- 1. Stopping Times.- 2. Changes of Time and Meyer-Dellacherie's Integration Formula.- 3. Point-Process Histories.- References.- A3 Wiener-Driven Dynamical Systems.- 1. Ito's Stochastic Integral.- 2. Square-Integrable Brownian Martingales.- 3. Girsanov's Theorem.- References.- A4 Stieltjes-Lebesgue Calculus.- 1. The Stieltjes-Lebesgue Integral.- 2. The Product and Exponential Formulas.- References.- General Bibliography.