Applied semi-Markov processes.
financial applicationsMarkov random walksMarkov-renewal theorynumerical methodsreward processessemi-Markov random walks
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Renewal theory (60K05) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Financial applications of other theories (91G80)
The main emphasis is (visible from the amount of space dedicated to the three topics) on presentation of the more or less classical theory. Most of the chapters are closed by considerating numerical procedures and recipies, and an application example with real life data. Examples are often from insurance and financial applications. The authors recommend to consider semi-Markov process models for insurance and financial applications instead of the standard (Brownian motion and related) models used up to now. The examples presented here support this recommendation, and it is well known from the literature that semi-Markov processes constitute a versatile class of models which have been applied successfully in many fields. A book like the one under review therefore might be an interesting complement to standard books on stochastic modeling. The chapter headings are: 1. Probability tools for stochastic modelling (45 pages), 2. Renewal theory (60 pages), 3. Markov chains (40 pages), 4. Markov renewal theory, Markov random walks and semi-Markov processes (50 pages), 5. Functionals of \((J-X)\) processes (30 pages), 6. Non-homogeneous Markov and semi-Markov processes (20 pages), 7. Markov and semi-Markov reward processes (50 pages). Half of the book (Chapters 1--3) is standard preliminary material. Chapter 4 starts with the semi-Markov processes, which are called here (positive) \((J-X)\) processes \((J-X)= ((J_n,X_n):n\geq 0)\), where \((J_n:n\geq 0)\) is the sequence of successive states of the process and \((X_n:n\geq 0)\) is the sequence of successive sojourn times for the states. For these processes the state classification is developed and the asymptotic behaviour is derived and classified. In Chapter 5 the assumption that the \(X_n\) are nonnegative real variables is removed and the so called general \((J-X)\) processes with real variables \(X_n\) are studied as generalization of random walks with state dependent jump heights. The theory for non-homogeneous (in time) processses is described rather shortly in Chapter 6. The reward processes (discounted and undiscounted case) are considered in Chapter 7 for different reward structures and dependencies on the model parameters, again with special emphasis on financial applications. For each model (numbered consecutively without reference to the model's characteristics) the evolution equation for the reward functional is given. The value of the book is strongly decreased by a large number of typos and flaws, even in the standard material.
- Semi-Markov reliability models with recurrence times and credit rating applications
- On the distributions of the state sizes of closed continuous time homogeneous Markov systems
- Homogeneous discrete time alternating compound renewal process: a disability insurance application
- Reward algorithms for semi-Markov processes
- Stability analysis of semi-Markov switched stochastic systems
- Reliability measures of semi-Markov systems with general state space
- Change point dynamics for financial data: an indexed Markov chain approach
- A note on the distribution of multivariate Brownian extrema
- Time-varying gain controller synthesis of piecewise homogeneous semi-Markov jump linear systems
- ROCOF of higher order for semi-Markov processes
- Analysis of IBNR liabilities with interevent times depending on claim counts
- On the derivative counting processes of first- and second-order aggregated semi-Markov systems
- Modelling of lung cancer survival data for critical illness insurances
- Stability and stabilization for positive systems with semi-Markov switching
- Analysis of an aggregate loss model in a Markov renewal regime
- Stability analysis of linear systems subject to regenerative switchings
- Sliding mode control for semi-Markovian jump systems via output feedback
- An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance
- Transient and stationary characteristics of a packet buffer modelled as an \(\mathrm{MAP}/\mathrm{SM}/1/b\) system
- The multivariate non-homogeneous Markov manpower system in a departmental mobility framework
- A reinforcement-learning approach for admission control in distributed network service systems
- The Augmented Semi-Markov System in Continuous Time
- Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes
- Markov reward models and Markov decision processes in discrete and continuous time: performance evaluation and optimization
- Step semi-Markov models and application to manpower management
- A demand prediction model for replacement parts using a Markov renewal process with termination
- Parametric inference for time-to-failure in multi-state semi-Markov models: a comparison of marginal and process approaches
- Large deviations for a damped telegraph process
- scientific article; zbMATH DE number 3850332 (Why is no real title available?)
- Estimation for discrete-time semi-Markov reward processes: analysis and inference
- Semi-Markov Risk Models for Finance, Insurance and Reliability
- The Dynamic Behaviour of Non-Homogeneous Single-Unireducible Markov and Semi-Markov Chains
- scientific article; zbMATH DE number 4104147 (Why is no real title available?)
- A note on the inflated-parameter binomial distribution
- The study of basic risk processes by discrete-time non-homogeneous Markov processes
- A semi-Markov approach to the stock valuation problem
- Uncertainty quantification for Markov processes via variational principles and functional inequalities
- Quantification of model uncertainty on path-space via goal-oriented relative entropy
- The parallel semi-Markov processes in objects group control tasks
- Earthquakes occurrences estimation through a parametric semi-Markov approach
- An association model for bivariate data with application to the analysis of university students' success
- Research of optimum strategy for semi-Markov queueing models at control of CBSMAP-flow. Algorithmization
- A customer's utility measure based on the reliability of multi-state systems
- Asymptotic stability in distribution of stochastic systems with semi-Markovian switching
- Research and optimization of semi-Markov queueing models
- Semi-Markov processes and reliability
- Wind speed modeled as an indexed semi‐Markov process
- Belief reliability analysis of traffic network: an uncertain percolation semi-Markov model
- GeneralizedH2control of the linear system with semi‐Markov jumps
- Inference of binary regime models with jump discontinuities
- Large deviations for the empirical measure and empirical flow of Markov renewal processes with a countable state space
- Investigating some attributes of periodicity in DNA sequences via semi-Markov modelling
- Semimartingale representation of a class of semi-Markov dynamics
- Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
- Bayesian nonparametric estimation of first passage distributions in semi-Markov processes
- A micro-to-macro approach to returns, volumes and waiting times
- Generalized \(\mathrm{H}_2\) control of discrete-time semi-Markov jump systems
- Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application
- Number of visits in arbitrary sets for -mixing dynamics
- A semi-Markov approach to financial modelling during the COVID-19 pandemic
- The controller with installed polling program model for vector control systems
- Analysis of semi-Markov reward processes motivated by ramp rate limitation in wind farms
- A non-homogeneous alternating renewal process model for interval censoring
- Introduction, analysis and limiting behaviour of a multi-level nonhomogeneous semi-Markov system with a reducible embedded Markov chain
- Conditional hitting time and state-dependent measures in semi-Markov models
- Some results for the delayed renewal function
- Mathematical support for hierarchical digital control of a complex technological object
- Risk probability optimization of finite horizon piecewise deterministic Markov decision processes
- Bivariate dependence, stochastic orders and conditional tails of the recurrence times in a renewal process
- Numerical approach for assessing system dynamic availability via continuous time homogeneous semi-Markov processes
- The covariance of the forward and backward recurrence times in a delayed renewal process
- On the joint right-tail distribution of the forward and backward recurrence times in a delayed renewal process
- Random dynamics of gene transcription activation in single cells
- Discrete time homogeneous Markov processes for the study of the basic risk processes
- Semi-Markov chains and hidden semi-Markov models toward applications. Their use in reliability and DNA analysis.
- A stochastic model for the HIV/AIDS dynamic evolution
- A non-homogeneous continuous time semi-Markov model for the study of accumulated claim process
- Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
- Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise
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