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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$268.00
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.
This book is the first of two volumes on random motions in Markov and semi-Markov random environments. This first volume focuses on homogenous random motions. This volume consists of two parts, the...
This book is the second of two volumes on random motions in Markov and semi-Markov random environments. This second volume focuses on high-dimensional random motions. This volume consists of two...
This book presents the first part of a planned two-volume series devoted to a systematic exposition of some recent developments in the theory of discrete-time Markov control processes (MCPs)...
The main purpose of this handbook is to summarize and to put in order the ideas, methods, results and literature on the theory of random evolutions and their applications to the evolutionary...
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