Catalogue Search | MBRL
Are you sure you want to remove the book from the shelf?
{{itemTitle}}
9,685
result(s) for
"General Applied Probability"
Sort by:
The end of average : how we succeed in a world that values sameness
\"Weaving science, history, and his experiences as a high school dropout, Rose brings to life the untold story of how we came to embrace the scientifically flawed idea that averages can be used to understand individuals and offers a powerful alternative: the three principles of individuality\"-- Provided by publisher.
Book
Characterization of the Generalized Pólya Process and its Applications
In this paper some important properties of the generalized Pólya process are derived and their applications are discussed. The generalized Pólya process is defined based on the stochastic intensity. By interpreting the defined stochastic intensity of the generalized Pólya process, the restarting property of the process is discussed. Based on the restarting property of the process, the joint distribution of the number of events is derived and the conditional joint distribution of the arrival times is also obtained. In addition, some properties of the compound process defined for the generalized Pólya process are derived. Furthermore, a new type of repair is defined based on the process and its application to the area of reliability is discussed. Several examples illustrating the applications of the obtained properties to various areas are suggested.
Journal Article
Electromagnetics, control and robotics : a problems & solutions approach
This book covers a variety of problems, and offers solutions to some, in: Statistical state and parameter estimation in nonlinear stochastic dynamical system in both the classical and quantum scenarios Propagation of electromagnetic waves in a plasma as described by the Boltzmann Kinetic Transport Equation Classical and Quantum General Relativity It will be of use to Engineering undergraduate students interested in analysing the motion of robots subject to random perturbation, and also to research scientists working in Quantum Filtering.
Book
A dynamic contagion process
We introduce a new point process, the dynamic contagion process, by generalising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and exogenous factors of the underlying system. We have systematically analysed the theoretical distributional properties of this new process, based on the piecewise-deterministic Markov process theory developed in Davis (1984), and the extension of the martingale methodology used in Dassios and Jang (2003). The analytic expressions of the Laplace transform of the intensity process and the probability generating function of the point process have been derived. An explicit example of specified jumps with exponential distributions is also given. The object of this study is to produce a general mathematical framework for modelling the dependence structure of arriving events with dynamic contagion, which has the potential to be applicable to a variety of problems in economics, finance, and insurance. We provide an application of this process to credit risk, and a simulation algorithm for further industrial implementation and statistical analysis.
Journal Article
A Cellular Network Model with Ginibre Configured Base Stations
Stochastic geometry models for wireless communication networks have recently attracted much attention. This is because the performance of such networks critically depends on the spatial configuration of wireless nodes and the irregularity of the node configuration in a real network can be captured by a spatial point process. However, most analysis of such stochastic geometry models for wireless networks assumes, owing to its tractability, that the wireless nodes are deployed according to homogeneous Poisson point processes. This means that the wireless nodes are located independently of each other and their spatial correlation is ignored. In this work we propose a stochastic geometry model of cellular networks such that the wireless base stations are deployed according to the Ginibre point process. The Ginibre point process is one of the determinantal point processes and accounts for the repulsion between the base stations. For the proposed model, we derive a computable representation for the coverage probability—the probability that the signal-to-interference-plus-noise ratio (SINR) for a mobile user achieves a target threshold. To capture its qualitative property, we further investigate the asymptotics of the coverage probability as the SINR threshold becomes large in a special case. We also present the results of some numerical experiments.
Journal Article
How Clustering Affects Epidemics in Random Networks
Motivated by the analysis of social networks, we study a model of random networks that has both a given degree distribution and a tunable clustering coefficient. We consider two types of growth process on these graphs that model the spread of new ideas, technologies, viruses, or worms: the diffusion model and the symmetric threshold model. For both models, we characterize conditions under which global cascades are possible and compute their size explicitly, as a function of the degree distribution and the clustering coefficient. Our results are applied to regular or power-law graphs with exponential cutoff and shed new light on the impact of clustering.
Journal Article
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
Consider a continuous-time renewal risk model with a constant force of interest. We assume that claim sizes and interarrival times correspondingly form a sequence of independent and identically distributed random pairs and that each pair obeys a dependence structure described via the conditional tail probability of a claim size given the interarrival time before the claim. We focus on determining the impact of this dependence structure on the asymptotic tail probability of discounted aggregate claims. Assuming that the claim size distribution is subexponential, we derive an exact locally uniform asymptotic formula, which quantitatively captures the impact of the dependence structure. When the claim size distribution is extended regularly varying tailed, we show that this asymptotic formula is globally uniform.
Journal Article
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. We establish sufficient and necessary stochastic maximum principles for an optimal control of such systems. The associated adjoint processes are shown to satisfy a (time-)advanced backward stochastic differential equation (ABSDE). Several results on existence and uniqueness of such ABSDEs are shown. The results are illustrated by an application to optimal consumption from a cash flow with delay.
Journal Article
The Λ-Fleming-Viot Process and a Connection with Wright-Fisher Diffusion
The d-dimensional Λ-Fleming-Viot generator acting on functions g(
x
), with
x
being a vector of d allele frequencies, can be written as a Wright-Fisher generator acting on functions g with a modified random linear argument of
x
induced by partitioning occurring in the Λ-Fleming-Viot process. The eigenvalues and right polynomial eigenvectors are easy to see from this representation. The two-dimensional process, which has a one-dimensional generator, is considered in detail. A nonlinear equation is found for the Green's function. In a model with genic selection a proof is given that there is a critical selection value such that if the selection coefficient is greater than or equal to the critical value then fixation, when the boundary 1 is hit, has probability 1 beginning from any nonzero frequency. This is an analytic proof different from the proofs of Der, Epstein and Plotkin (2011) and Foucart (2013). An application in the infinitely-many-alleles Λ-Fleming-Viot process is finding an interesting identity for the frequency spectrum of alleles that is based on size biasing. The moment dual process in the Fleming-Viot process is the usual Λ-coalescent tree back in time. The Wright-Fisher representation using a different set of polynomials g
n
(x) as test functions produces a dual death process which has a similarity to the Kingman coalescent and decreases by units of one. The eigenvalues of the process are analogous to the Jacobi polynomials when expressed in terms of g
n
(x), playing the role of x
n
. Under the stationary distribution when there is mutation, is analogous to the nth moment in a beta distribution. There is a d-dimensional version g
n
(
X
), and even an intriguing Ewens' sampling formula analogy when d → ∞.
Journal Article