Point processes and queues. Martingale dynamics

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Signal detection and filtering (aspects of stochastic processes) (60G35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Cited in

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Optimal time to change premiums
Sequential tracking of a hidden Markov chain using point process observations
Minimizing the lifetime shortfall or shortfall at death
Parameter estimation for point processes with partial observations: A filtering approach
Statistical modelling via partitioned counting processes
Mortality and aging in a heterogeneous population: A stochastic process model with observed and unobserved variables
Ruin problems and myopic portfolio optimization in continuous trading
Markov property of point processes
Laws of large numbers in self-correcting point processes
The multivariate hazard construction
Asymptotic inference for continuous-time Markov chains
Estimating a parametric trend component in a continuous-time jump-type process
Ergodicity and inequalities in a class of point processes
A note on the exponentiality of total hazards before failure
Martingale dynamics and optimal routing in a network
Histogram maximum likelihood estimator in the multiplicative intensity model
Interchange arguments for classical scheduling problems in queues
A filtering model for Bayesian analysis of failure data contaminated by maintenance
A note on kernel smoothing of an estimator of a periodic function in the multiplicative intensity model
Dynamic reliability models with conditional proportional hazards
Embedding optimal selection problems in a Poisson process
Comparison between optimal costs for relaxed and non-relaxed control problems with jumps
Filtering the histories of a partially observed marked point process
An optimal selection policy for a flexible manufacturing cell feeding several production lines
Optimal selection and control strategies for a flexible manufacturing and assembly system
Balance equations for general tandem queues
Some theorems on conditional Pasta: A stochastic integral approach
On Bayesian nonparametric estimation for stochastic processes
Optimal control of some queueing networks
Adaptive prediction and reverse martingales
On dependent marking and thinning of point processes
On point processes in the plane
On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
A note on optimal replacement policy under general repair
Optimal stochastic switching of some queueing networks
Large deviations and stationary measures for interacting particle systems
Pricing options on securities with discontinuous returns
Filtering of derived point processes
Specification diagnostics for duration models. A martingale approach
Rate conservation laws: A survey
Optimal control of a simple assembly system
The M/G/1 processor-sharing model: Transient behavior
Optimal two-layer selection policy for a flexible manufaturing system
Suboptimal nonlinear filtering of the rate of an observed point process
Recursive estimation of a discrete-time Markov chain
On the central limit theorem for point process martingales
Evaluation of the GIC rollover option
Bayesian sequential reliability for Weibull and related distributions
Stochastic control methods in optimal design of life testing
Higher-order Lindley equations
The Einstein relation for the displacement of a test particle in a random environment
Random record processes and state dependent thinning
Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
On a singular feature of critical G/M/1 queues
Filters for estimating Markov modulated Poisson processes and image-based tracking
A replacement model with general age-dependent failure rates
Recurring event data: A general model and related inference procedures
On martingale measures when asset returns have unpredictable jumps
Asymptotic behaviour of a number of repeated records
Traffic queue estimation
Corporate insurance and managerial incentives
Markov models and Thiele's integral equations for the prospective reserve
Aspects of prospective mean values in risk theory
Coupling with compensators
Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
A Cox process with log-normal intensity.
Lundberg inequalities in a diffusion environment
Asymptotics of overflow probabilities in Jackson networks.
Component importance in a random environment
Rosenthal's inequality for point process martingales
Filtering of discrete-time systems hidden in discrete-time random measures
Analysis of random walks in dynamic random environments via \(L^2\)-perturbations
The distribution of the spine of a Fleming-Viot type process
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
Concepts of quantum non-markovianity: a hierarchy
Equivalent martingale measures for Lévy-driven moving averages and related processes
A large scale analysis of unreliable stochastic networks
Nonlinear filtering with correlated Lévy noise characterized by copulas
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Technology ladders and R\&D in dynamic Cournot markets
Microstructure models with short-term inertia and stochastic volatility
Arbitrage and utility maximization in market models with an insider
A multiplicative seasonal component in commodity derivative pricing
Mean-field limit of generalized Hawkes processes
Optimal investment in markets with over and under-reaction to information
Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
On optimal dividends with penalty payments in the Cramér-Lundberg model
A stochastic maximum principle for Markov chains of mean-field type
Integration by parts and martingale representation for a Markov chain
Self-exciting jump processes with applications to energy markets
Fractional Poisson fields and martingales
Stochastic impulse control with regime-switching dynamics
Price trends and dynamic pricing in perishable product market consisting of superior and inferior firms
A Poisson limit for the departure process from a queue with many busy servers
Consistent parametric estimation of the intensity of a spatial-temporal point process
Brownian analogues of Burke's theorem.
A mixture and self-exciting model for software reliability

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