This book gives a self-contained introduction to the dynamic martingale approach to marked point processes (MPP). Based on the notion of a compensator, this approach gives a versatile tool for analyzing and describing the stochastic properties of an MPP. In particular, the authors discuss the relationship of an MPP to its compensator and particular classes of MPP are studied in great detail. The theory is applied to study properties of dependent marking and thinning, to prove results on absolute continuity of point process distributions, to establish sufficient conditions for stochastic ordering between point and jump processes, and to solve the filtering problem for certain classes of MPPs.
- ISBN13 9780387945477
- Publish Date 10 August 1995
- Publish Status Active
- Publish Country US
- Imprint Springer-Verlag New York Inc.
- Edition 1995 ed.
- Format Hardcover
- Pages 490
- Language English