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Semi Markov Models

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Semi Markov Models and Applications

Semi Markov Models and Applications Book
Author : Jacques Janssen,Nikolaos Limnios
Publisher : Springer Science & Business Media
Release : 2013-12-01
ISBN : 1461332885
Language : En, Es, Fr & De

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Book Description :

This book presents a selection of papers presented to the Second Inter national Symposium on Semi-Markov Models: Theory and Applications held in Compiegne (France) in December 1998. This international meeting had the same aim as the first one held in Brussels in 1984 : to make, fourteen years later, the state of the art in the field of semi-Markov processes and their applications, bring together researchers in this field and also to stimulate fruitful discussions. The set of the subjects of the papers presented in Compiegne has a lot of similarities with the preceding Symposium; this shows that the main fields of semi-Markov processes are now well established particularly for basic applications in Reliability and Maintenance, Biomedicine, Queue ing, Control processes and production. A growing field is the one of insurance and finance but this is not really a surprising fact as the problem of pricing derivative products represents now a crucial problem in economics and finance. For example, stochastic models can be applied to financial and insur ance models as we have to evaluate the uncertainty of the future market behavior in order, firstly, to propose different measures for important risks such as the interest risk, the risk of default or the risk of catas trophe and secondly, to describe how to act in order to optimize the situation in time. Recently, the concept of VaR (Value at Risk) was "discovered" in portfolio theory enlarging so the fundamental model of Markowitz.

Introduction to Hidden Semi Markov Models

Introduction to Hidden Semi Markov Models Book
Author : John Van der Hoek,Robert J. Elliott
Publisher : Cambridge University Press
Release : 2019
ISBN : 1108421601
Language : En, Es, Fr & De

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Book Description :

Develops the theory of Markov and semi-Markov processes in an elementary setting suitable for senior undergraduate and graduate students.

Semi Markov Chains and Hidden Semi Markov Models toward Applications

Semi Markov Chains and Hidden Semi Markov Models toward Applications Book
Author : Vlad Stefan Barbu,Nikolaos Limnios
Publisher : Springer
Release : 2008-08-28
ISBN : 9780387731711
Language : En, Es, Fr & De

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Book Description :

Here is a work that adds much to the sum of our knowledge in a key area of science today. It is concerned with the estimation of discrete-time semi-Markov and hidden semi-Markov processes. A unique feature of the book is the use of discrete time, especially useful in some specific applications where the time scale is intrinsically discrete. The models presented in the book are specifically adapted to reliability studies and DNA analysis. The book is mainly intended for applied probabilists and statisticians interested in semi-Markov chains theory, reliability and DNA analysis, and for theoretical oriented reliability and bioinformatics engineers.

Semi Markov Models

Semi Markov Models Book
Author : Jacques Janssen
Publisher : Springer Science & Business Media
Release : 2013-11-11
ISBN : 148990574X
Language : En, Es, Fr & De

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Book Description :

This book is the result of the International Symposium on Semi Markov Processes and their Applications held on June 4-7, 1984 at the Universite Libre de Bruxelles with the help of the FNRS (Fonds National de la Recherche Scientifique, Belgium), the Ministere de l'Education Nationale (Belgium) and the Bernoulli Society for Mathe matical Statistics and Probability. This international meeting was planned to make a state of the art for the area of semi-Markov theory and its applications, to bring together researchers in this field and to create a platform for open and thorough discussion. Main themes of the Symposium are the first ten sections of this book. The last section presented here gives an exhaustive biblio graphy on semi-Markov processes for the last ten years. Papers selected for this book are all invited papers and in addition some contributed papers retained after strong refereeing. Sections are I. Markov additive processes and regenerative systems II. Semi-Markov decision processes III. Algorithmic and computer-oriented approach IV. Semi-Markov models in economy and insurance V. Semi-Markov processes and reliability theory VI. Simulation and statistics for semi-Markov processes VII. Semi-Markov processes and queueing theory VIII. Branching IX. Applications in medicine X. Applications in other fields v PREFACE XI. A second bibliography on semi-Markov processes It is interesting to quote that sections IV to X represent a good sample of the main applications of semi-Markov processes i. e.

Semi Markov Risk Models for Finance Insurance and Reliability

Semi Markov Risk Models for Finance  Insurance and Reliability Book
Author : Jacques Janssen,Raimondo Manca
Publisher : Springer Science & Business Media
Release : 2007-05-15
ISBN : 0387707301
Language : En, Es, Fr & De

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Book Description :

Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful practical text. The book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. After a presentation of the main probabilistic tools necessary for understanding of the book, the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition and continuing eventually to the most advanced financial tools.

Semi Markov Migration Models for Credit Risk

Semi Markov Migration Models for Credit Risk Book
Author : Guglielmo D'Amico,Giuseppe Di Biase,Jacques Janssen,Raimondo Manca
Publisher : John Wiley & Sons
Release : 2017-06-01
ISBN : 1119415128
Language : En, Es, Fr & De

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Book Description :

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.

Semi Markov Models

Semi Markov Models Book
Author : Yuriy E Obzherin,Elena G Boyko
Publisher : Academic Press
Release : 2015-02-03
ISBN : 0128024860
Language : En, Es, Fr & De

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Book Description :

Featuring previously unpublished results, Semi-Markov Models: Control of Restorable Systems with Latent Failures describes valuable methodology which can be used by readers to build mathematical models of a wide class of systems for various applications. In particular, this information can be applied to build models of reliability, queuing systems, and technical control. Beginning with a brief introduction to the area, the book covers semi-Markov models for different control strategies in one-component systems, defining their stationary characteristics of reliability and efficiency, and utilizing the method of asymptotic phase enlargement developed by V.S. Korolyuk and A.F. Turbin. The work then explores semi-Markov models of latent failures control in two-component systems. Building on these results, solutions are provided for the problems of optimal periodicity of control execution. Finally, the book presents a comparative analysis of analytical and imitational modeling of some one- and two-component systems, before discussing practical applications of the results Reflects the possibility and effectiveness of this method of modeling systems, such as phase merging algorithms developed by V.S. Korolyuk, A.F. Turbin, A.V. Swishchuk, little covered elsewhere Focuses on possible applications to engineering control systems

Semi Markov models in manpower planning

Semi Markov models in manpower planning Book
Author : Habibollah Hassani
Publisher : Unknown
Release : 1980
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Semi Markov models in manpower planning book written by Habibollah Hassani, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Semi Markov Models

Semi Markov Models Book
Author : Yuriy E. Obzherin,Elena G. Boyko
Publisher : Academic Press
Release : 2015-02-02
ISBN : 9780128022122
Language : En, Es, Fr & De

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Book Description :

Featuring previously unpublished results, Semi-Markov Models: Control of Restorable Systems with Latent Failures describes valuable methodology which can be used by readers to build mathematical models of a wide class of systems for various applications. In particular, this information can be applied to build models of reliability, queuing systems, and technical control. Beginning with a brief introduction to the area, the book covers semi-Markov models for different control strategies in one-component systems, defining their stationary characteristics of reliability and efficiency, and utilizing the method of asymptotic phase enlargement developed by V.S. Korolyuk and A.F. Turbin. The work then explores semi-Markov models of latent failures control in two-component systems. Building on these results, solutions are provided for the problems of optimal periodicity of control execution. Finally, the book presents a comparative analysis of analytical and imitational modeling of some one- and two-component systems, before discussing practical applications of the results Reflects the possibility and effectiveness of this method of modeling systems, such as phase merging algorithms developed by V.S. Korolyuk, A.F. Turbin, A.V. Swishchuk, little covered elsewhere Focuses on possible applications to engineering control systems

Fitting Hidden Semi Markov Models

Fitting Hidden Semi Markov Models Book
Author : Anonim
Publisher : Unknown
Release : 2000
ISBN : 9780478232028
Language : En, Es, Fr & De

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Book Description :

Download Fitting Hidden Semi Markov Models book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Wind Speed Modeling Through Semi Markov Models

Wind Speed Modeling Through Semi Markov Models Book
Author : Flavio Prattico
Publisher : Unknown
Release : 2015
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Wind Speed Modeling Through Semi Markov Models book written by Flavio Prattico, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Semi Markov Models

Semi Markov Models Book
Author : Jürg Kohlas
Publisher : Unknown
Release : 1981
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Semi Markov Models book written by Jürg Kohlas, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Process Discovery Using Rule Integrated Trees Hidden Semi Markov Models

Process Discovery Using Rule Integrated Trees Hidden Semi Markov Models Book
Author : 家良·郭
Publisher : Unknown
Release : 2017
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Process Discovery Using Rule Integrated Trees Hidden Semi Markov Models book written by 家良·郭, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Semi Markov Models of One Server Loss Queues with Recurrent Input

Semi Markov Models of One Server Loss Queues with Recurrent Input Book
Author : Aleksey Peschansky
Publisher : LAP Lambert Academic Publishing
Release : 2013
ISBN : 9783659368042
Language : En, Es, Fr & De

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Book Description :

In the monograph, by means of semi-Markov processes with discrete-continuous phase state space, models of one-server loss queues with recurrent input and arbitrary service time distribution are constructed. Stationary characteristics of the following queues are obtained: the queue with different types of requests; with absolute priority; with service quality control; with unreliable server; the two-phase queue.

Durational Effects and Non smooth Semi Markov Models in Life Insurance

Durational Effects and Non smooth Semi Markov Models in Life Insurance Book
Author : Marko Helwich
Publisher : Unknown
Release : 2007
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Durational Effects and Non smooth Semi Markov Models in Life Insurance book written by Marko Helwich, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Hidden Semi Markov Models

Hidden Semi Markov Models Book
Author : Shun-Zheng Yu
Publisher : Morgan Kaufmann
Release : 2015-10-22
ISBN : 0128027711
Language : En, Es, Fr & De

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Book Description :

Hidden semi-Markov models (HSMMs) are among the most important models in the area of artificial intelligence / machine learning. Since the first HSMM was introduced in 1980 for machine recognition of speech, three other HSMMs have been proposed, with various definitions of duration and observation distributions. Those models have different expressions, algorithms, computational complexities, and applicable areas, without explicitly interchangeable forms. Hidden Semi-Markov Models: Theory, Algorithms and Applications provides a unified and foundational approach to HSMMs, including various HSMMs (such as the explicit duration, variable transition, and residential time of HSMMs), inference and estimation algorithms, implementation methods and application instances. Learn new developments and state-of-the-art emerging topics as they relate to HSMMs, presented with examples drawn from medicine, engineering and computer science. Discusses the latest developments and emerging topics in the field of HSMMs Includes a description of applications in various areas including, Human Activity Recognition, Handwriting Recognition, Network Traffic Characterization and Anomaly Detection, and Functional MRI Brain Mapping. Shows how to master the basic techniques needed for using HSMMs and how to apply them.

Modeling event driven time series with generalized hidden semi Markov models

Modeling event driven time series with generalized hidden semi Markov models Book
Author : Felix Salfner
Publisher : Unknown
Release : 2006
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Modeling event driven time series with generalized hidden semi Markov models book written by Felix Salfner, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Semi Markov Models of Search in the Presence of Decoys

Semi Markov Models of Search in the Presence of Decoys Book
Author : Anonim
Publisher : Unknown
Release : 1972
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

A semi-Markov model representation of a submarine searching for a high value target in a field of decoys has been developed. The model was used to assess the potentials of tactical deception techniques in antisubmarine warfare. The report describes the details of the model structure. The assessment results are published in a separate, classified, final project report. In its present form, the model represents the first-generation of a promising approach that can address a large class of tactical deception assessment problems. Possible extensions and uses of the present model together with some areas potentially requiring new formulation of the semi-Markov approach are suggested in the research memorandum.

Dynamic Probabilistic Systems

Dynamic Probabilistic Systems Book
Author : Ronald A. Howard
Publisher : Courier Corporation
Release : 2012-05-04
ISBN : 0486140679
Language : En, Es, Fr & De

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Book Description :

An integrated work in two volumes, this text teaches readers to formulate, analyze, and evaluate Markov models. The first volume treats basic process; the second, semi-Markov and decision processes. 1971 edition.