• Corpus ID: 1213193

Introduction to Stochastic Processes

@inproceedings{Breuer2007IntroductionTS,
  title={Introduction to Stochastic Processes},
  author={Lothar Breuer},
  year={2007}
}

Figures from this paper

Error formulae for the energy-dependent cross-spectrum
  • A. Ingram
  • Physics
    Monthly Notices of the Royal Astronomical Society
  • 2019
I present analytic error formulae for the energy-dependent cross-spectrum and rms spectrum, which are Fourier statistics widely used to probe the rapid X-ray variability observed from accreting
New Results in Multivariate Time Series with Applications
This dissertation presents some new results in stationary multivariate time series. The asymptotic properties of the sample autocovariance are established, that is, we derive a multivariate version
Time Inhomogeneous Mutation Models with Birth Date Dependence
  • Adrien Mazoyer
  • Medicine, Mathematics
    Bulletin of mathematical biology
  • 2017
TLDR
The classic Luria–Delbrück model for fluctuation analysis is extended to the case where the split instant distributions of cells are not i.i.d.: the lifetime of each cell is assumed to depend on its birth date, and a new theorem of convergence for the final mutant counts is proved.
New Results in Multivariate Time Series with Applications
This dissertation presents some new results in stationary multivariate time series. The asymptotic properties of the sample autocovariance are established, that is, we derive a multivariate version
Price feedback and hybrid diffusions in finance
TLDR
This investigation seeks to motivate a new class of models, throwing out the stationary increments hypothesis, and argues that certain techniques of trading decision-making are not independent of previous price movements, and the returns will reflect that.
High time resolution optical/X-ray cross-correlations for X-ray binaries : anticorrelations and rapid variability
Using simultaneous observations in X-rays and optical, we have performed a homogeneous analysis of the cross-correlation behaviours of four X-ray binaries: SWIFT J1753.5-0127, GX339-4, Sco X-1 and
On the Numerical Analysis of Inhomogeneous Continuous-Time Markov Chains
TLDR
A new variant of the uniformization technique is presented that computes an approximation of the transient distribution of inhomogeneous continuous-time Markov chains and is shown to outperform standard differential equation solvers if transition rates change slowly.
Availability of inspected systems subject to shocks - A matrix algorithmic approach
We examine the limiting average availability of a maintained system that deteriorates due to random shock process and as a response to its usage (wear out). System's failures are not self-announcing,
Transforming Renewal Processes for Simulation of Nonstationary Arrival Processes
TLDR
This paper shows that the desired arrival rate is achieved and that when the renewal base process is either more orLess variable than Poisson, then the NSNP process is also more or less variable, respectively, than an NSPP.
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 21 REFERENCES
Fitting Phase-type Distributions via the EM Algorithm
Estimation from sample data and density approximation with phase-type distribu- tions are considered. Maximum likelihood estimation via the EM algorithm is discussed and performed for some data sets.
A note on the optimal replacement problem
We study the following model for a system the state of which is continuously observed. The set of possible states is a finite set {0,...,L}, where larger values represent increased states of
Introduction to Matrix Analytic Methods in Stochastic Modeling
TLDR
This chapter discusses quasi-Birth-and-Death Processes, a large number of which are based on the Markovian Point Processes and the Matrix-Geometric Distribution, as well as algorithms for the Rate Matrix.
Markovian Models for Non–negative Random Variables
  • Advances in Matrix Analytic Methods for Stochastic Models
  • 1998
SPH–Distributions and the Rectangle–Iterative Algorithm
  • Matrix–Analytic Methods in Stochastic Models
  • 1997
Markov Chains and Stochastic Stability
  • S. Meyn, R. Tweedie
  • Computer Science
    Communications and Control Engineering Series
  • 1993
TLDR
This second edition reflects the same discipline and style that marked out the original and helped it to become a classic: proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background.
Stochastic Processes
Introduction to stochastic processes. Englewood Cliffs
  • N. J
  • 1975
Probability distributions of phase type
  • Probability distributions of phase type
  • 1975
...
1
2
3
...