Description

This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on semi-Markov chains as switching or driving processes. After giving the definitions of discrete-time semi-Markov chains and random evolutions, it presents the asymptotic theory in a functional setting, including weak convergence results in the series scheme, and their extensions in some additional directions, including reduced random media, controlled processes, and optimal stopping. Finally, applications of discrete-time semi-Markov random evolutions in epidemiology and financial mathematics are discussed. This book will be of interest to researchers and graduate students in applied mathematics and statistics, and other disciplines, including engineering, epidemiology, finance and economics, who are concerned with stochastic models of systems.

Discrete-Time Semi-Markov Random Evolutions and Their Applications

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Hardback by Nikolaos Limnios , Anatoliy Swishchuk

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This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on... Read more

    Publisher: Birkhauser Verlag AG
    Publication Date: 25/07/2023
    ISBN13: 9783031334283, 978-3031334283
    ISBN10: 3031334280

    Number of Pages: 198

    Non Fiction , Mathematics & Science , Education

    Description

    This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on semi-Markov chains as switching or driving processes. After giving the definitions of discrete-time semi-Markov chains and random evolutions, it presents the asymptotic theory in a functional setting, including weak convergence results in the series scheme, and their extensions in some additional directions, including reduced random media, controlled processes, and optimal stopping. Finally, applications of discrete-time semi-Markov random evolutions in epidemiology and financial mathematics are discussed. This book will be of interest to researchers and graduate students in applied mathematics and statistics, and other disciplines, including engineering, epidemiology, finance and economics, who are concerned with stochastic models of systems.

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