Athens Conference on Applied Probability and Time Series Analysis: Volume I: Applied Probability in Honor of J.M. Gani

ISBN-13: 9780387947884 / Angielski / Miękka / 1996 / 464 str.

C. C. Heyde; Yu V. Prohorov; Ronald Pyke

Opis

The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume I includes papers on applied probability in Honor of J.M. Gani. The topics include probability and probabilistic methods in recursive algorithms and stochastic models, Markov and other stochastic models such as Markov chains, branching processes and semi-Markov systems, biomathematical and genetic models, epidemilogical models including S-I-R (Susceptible-Infective-Removal), household and AIDS epidemics, financial models for option pricing and optimization problems, random walks, queues and their waiting times, and spatial models for earthquakes and inference on spatial models.

Spis treści

A. Probability and Probabilistic Methods.- Half-prophets and Robbins’ problem of minimizing the expected rank.- Analysis of recursive algorithms by the contraction method.- Comparison of completely positive maps on a C*-algebra and a Lebesgue decomposition theorem.- Abel expansions and generalized Abel polynomials in stochastic models.- Positive dependence orders: a survey.- B. Markov and Other Stochastic Processes.- A Poisson limit on the number of appearances of a pattern in a Markov chain.- Palindromes in random letter generation: Poisson approximations, rates of growth and Erdos-Renyi laws.- Direct analytical methods for determining quasistationary distributions for continuous-time Markov chains.- Explosions in Markov processes and submartingale convergence.- Probability bounds for product Poisson process.- On the first-crossing of a Poisson process on a lower boundary.- Explicit rates of convergence of stochastically ordered Markov chains.- Multi-type age-dependent branching processes with state-dependent immigration.- The nonhomogenous semi-Markov system in a stochastic environment.- Branching processes with two types of emigration and state-dependent immigration.- C. Biomathematical Models.- Remarks on the law of succession.- Large deviations of the Wright-Fisher process.- D. Epidemic Models.- Threshold behaviour in stochastic epidemics among households.- Reproduction numbers and critical immunity levels for epidemics in a community of households.- Modelling the spread of HIV in prisons.- An algorithmic study of S-I-R stochastic epidemic models.- E. Financial Models.- Testing the validity of value-at-work measures.- Option pricing for hyperbolic CRR model.- A class of shot noise models for financial applications.- Why discount? The rationale of discounting in optimization problems.- F. Random Walks and Queues.- On periodic Pollaczek waiting time processes.- Random walk approach to relaxation in disordered systems.- G. Spatial Models.- Inference for a class of causal spatial models.- Problems in the modelling and statistical analysis of earthquakes.- H. Inference.- On the existence of UMVU estimators for Bernoulli experiments in the non-identically distributed case with applications to the randomized response method and the unrelated question model.- On a three-sample test.