Livres/BooksPoint Processes and Queues

Martingale Dynamics

The dynamical aspects of processes on the real line are best captured by the notion of stochastic intensity, which is in turn expressed in terms of martingale.This approach leads to a powerful calculus to be compared to the Ito calculus for Wiener driven stochastic systems.

This book is an introduction to the subject, with examples of application in queuing filtering and detection, optimal control and information theory.

Table of contents (pdf-690kB)