Stochastic Processes

doi:10.3390/books978-3-03921-963-6

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Stochastic Processes

Theory and Applications

Edited by

December 2019

216 pages

ISBN978-3-03921-962-9 (Paperback)
ISBN978-3-03921-963-6 (PDF)

https://doi.org/10.3390/books978-3-03921-963-6

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This book is a reprint of the Special Issue Stochastic Processes: Theory and Applications that was published in

Computer Science & Mathematics

Engineering

Physical Sciences

Public Health & Healthcare

Summary

The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance.

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Keywords

measure of information; cumulative inaccuracy; mutual information; lower record values; parabolic equation; Cauchy problem; Monte Carlo method; unbiased estimator; von-Neumann–Ulam scheme; compound poisson insurance risk model; expected discounted penalty function; estimation; Fourier transform; Fourier-cosine series; multidimensional birth-death process; inhomogeneous continuous-time Markov chain; rate of convergence; one dimensional projection; Wiener–Poisson risk model; survival probability; Nonparametric threshold estimation; wet periods; total precipitation volume; asymptotic approximation; extreme order statistics; random sample size; testing statistical hypotheses; queueing systems; rate of convergence; non-stationary; Markovian queueing models; limiting characteristics; queuing network; retrials; state-dependent marked Markovian arrival process; wireless telecommunication networks; time-dependent queue-length probability; discrete-time Geo/D/1 queue; closed-form solution; Monte Carlo method; quasi-Monte Carlo method; Koksma-Hlawka inequality; quasi-random sequences; stochastic processes; processor heating and cooling; markovian arrival process; phase-type service time distribution; impatience; Quasi-Birth-and-Death process; matrix-geometric solution; truncated distribution; Markovian arrival process; multi-class arrival processes; product form; equity-linked death benefits; Fourier cosine series expansion; guaranteed minimum death benefit; option; valuation; Lévy process; compound Poisson risk model; generalized Gerber–Shiu discounted penalty function; Laplace transform; Dickson–Hipp operator; recursive formula