Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
From MaRDI portal
Publication:4057370
Cites work
- Filtering and detection for doubly stochastic Poisson processes
- scientific article; zbMATH DE number 3495450 (Why is no real title available?)
- scientific article; zbMATH DE number 3579718 (Why is no real title available?)
- scientific article; zbMATH DE number 3223983 (Why is no real title available?)
- scientific article; zbMATH DE number 3227572 (Why is no real title available?)
- scientific article; zbMATH DE number 3328740 (Why is no real title available?)
- scientific article; zbMATH DE number 3390061 (Why is no real title available?)
- scientific article; zbMATH DE number 3413608 (Why is no real title available?)
- Integrability of Expected Increments of Point Processes and a Related Random Change of Scale
- Radon-Nikodym derivatives with respect to measures induced by discontinuous independent-increment processes
- Regular point processes and their detection
- Systemes de Levy des processus de Markov
- The modeling of randomly modulated jump processes
- The Structure of Radon-Nikodym Derivatives with Respect to Wiener and Related Measures
- Transformation of local martingales under a change of law
- Transformation of Markov processes by multiplicative functionals
Cited in
(only showing first 100 items - show all)- Clark-Ocone formula and variational representation for Poisson functionals
- Estimation and efficiency with recurrent event data under informative monitoring
- Nonparametric model checking for \(k\)-out-of-\(n\) systems
- Asymptotics of distributions of martingales
- Nonparametric estimation of the integrated intensity of an unobservable transition in a Markov illness-death process
- Markov property of point processes
- 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 change of variables formula
- Explicit formula of optimal replacement under additive shock processes
- Some inverse problems involving conditional expectations
- Martingales and stochastic integrals in the theory of continuous trading
- Workload in queues having priorities assigned according to service time
- On statistics of Markov step processes: Representation of log-likelihood ratio processes in filtered local models
- On dependent marking and thinning of point processes
- Martingale characterization of random processes with independent increments
- On point processes in the plane
- Characteristics of queueing systems observed at events and the connection between stochastic intensity and Palm probability
- Completeness of securities market models -- an operator point of view
- Asymptotic inference for Markov step processes: Observation up to a random time
- Filtering of derived point processes
- The M/G/1 processor-sharing model: Transient behavior
- Conditioned super-Brownian motion
- Statistical inference for detrended point processes
- Asymptotic distinction of counting processes
- Nonparametric estimators for Markov step processes
- Imbedded construction of stationary sequences and point processes with a random memory
- Some monotonicity and dependence properties of self-exciting point processes
- Smoothed Cox regression
- Markov models and Thiele's integral equations for the prospective reserve
- Coupling with compensators
- Bayesian analysis of proportional hazard models
- Bartlett identities and large deviations in likelihood theory
- Component importance in a random environment
- Stability results for a general class of interacting point processes dynamics, and applications
- Asymptotic reliability of a linearly connected system with an infinite number of components
- Time and Palm stationarity of repairable systems
- Transforming spatial point processes into Poisson processes
- Fluctuations of bridges, reciprocal characteristics and concentration of measure
- Finite horizon continuous-time Markov decision processes with mean and variance criteria
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics
- Self-exciting jump processes with applications to energy markets
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- On the nonexplosion and explosion for nonhomogeneous Markov pure jump processes
- Large deviation probabilities in estimation of Poisson random measures
- Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
- Poisson convergence in two dimensions with application to row and column exchangeable arrays
- Asymptotic optimality of tests in a hypothesis testing problem for recurrent jump Markov processes
- Local asymptotic normality and mixed normality for Markov statistical models
- On the law of the iterated logarithm for canonical \(U\)-statistics and processes
- Poisson approximations for Markov-driven point processes
- Modelling of repairable systems with various degrees of repair
- The transformation method for continuous-time Markov decision processes
- Counterfactual analyses with graphical models based on local independence
- Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory
- Probabilistic approach to finite state mean field games
- On Bernstein type inequalities for stochastic integrals of multivariate point processes
- On solutions of Kolmogorov's equations for nonhomogeneous jump Markov processes
- Survival analysis via hierarchically dependent mixture hazards
- Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- Time-dynamic evaluations under non-monotone information generated by marked point processes
- Kolmogorov's equations for jump Markov processes with unbounded jump rates
- Interview with Anja Sattelmacher: between viewing and touching -- models and their materiality
- Scaled insurance cash flows: representation and computation via change of measure techniques
- Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
- Optimal control for stochastic Volterra equations with multiplicative Lévy noise
- Single jump filtrations and local martingales
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Escape rate of Markov chains on infinite graphs
- Consistent semiparametric estimators for recurrent event times models with application to virtual age models
- Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
- On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
- Risk-sensitive finite-horizon piecewise deterministic Markov decision processes
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles
- Limit theorems for nearly unstable Hawkes processes
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Reciprocal classes of random walks on graphs
- Semiparametric inference with correlated recurrence time data
- Semiparametric inference for a general class of models for recurrent events
- Zero-sum continuous-time Markov pure jump game over a fixed duration
- Constrained continuous-time Markov decision processes on the finite horizon
- Backward stochastic differential equations associated to jump Markov processes and applications
- BSDEs driven by time-changed Lévy noises and optimal control
- Some limit theorems for Hawkes processes and application to financial statistics
- A partially observed ultra-high-frequency data model: risk-minimizing hedging
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Fluid limits of optimally controlled queueing networks
- On non-simple marked point processes
- Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages
- Efficiency of estimators for partially specified filtered models
- Construction and simulation of generalized multivariate Hawkes processes
- Probabilistic representations of fragmentation equations
- Scaling limit for stochastic control problems in population dynamics
- Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
- Constrained and unconstrained optimal discounted control of piecewise deterministic Markov processes
- A weak convergence criterion for constructing changes of measure
This page was built for publication: Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4057370)
