Add to ORKGIn this paper we present asymptotic estimates of level crossing probabilities from a Bayesian point of view, based on large deviations. For the Bayesian analysis we choose a finite mixture of conjugate prior distributions to model the uncertainty on the unknown parameters of the two classes of stochastic processes considered: the Brownian motion and the compound Poisson process with upward jumps and negative drift. The estimates of level crossing probabilities are derived as a consequence of large deviation principles for posterior distributions
We compute the posterior distributions of the initial population and parameter of binary branching p...
The theory of large deviations deals with rates at which probabilities of certain events decay as a ...
© 2008 Dr. Andrew Nicholas DownesThis thesis is concerned with boundary crossing probabilities and f...
In this paper we present asymptotic estimates of level crossing probabilities from a Bayesian point ...
The probabilities of rare events have interest in some network and risk problems and, in this pa...
The probabilities of rare events have interest in some network and risk problems and, in this pa...
The problem of (pathwise) large deviations for conditionally continuous Gaussian processes is invest...
This paper takes up three parametric cases?the normal, Poisson, ex-ponential cases?in order to study...
In this paper we present some large deviation results for compound Markov renewal processes. We star...
In this paper we present some large deviation results for compound Markov renewal processes. We star...
AbstractLet Y1, Y2, … be a stochastic process and M a positive real number. Define the level crossin...
The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay...
Using martingale methods, we derive a set of theorems of boundary crossing probabilities for a Brown...
This paper takes up three parametric cases－the normal, Poisson, exponential cases－in order to study ...
Since its inception in 1974, the level crossing approach for analyzing a large class of stochastic m...
We compute the posterior distributions of the initial population and parameter of binary branching p...
The theory of large deviations deals with rates at which probabilities of certain events decay as a ...
© 2008 Dr. Andrew Nicholas DownesThis thesis is concerned with boundary crossing probabilities and f...
In this paper we present asymptotic estimates of level crossing probabilities from a Bayesian point ...
The probabilities of rare events have interest in some network and risk problems and, in this pa...
The probabilities of rare events have interest in some network and risk problems and, in this pa...
The problem of (pathwise) large deviations for conditionally continuous Gaussian processes is invest...
This paper takes up three parametric cases?the normal, Poisson, ex-ponential cases?in order to study...
In this paper we present some large deviation results for compound Markov renewal processes. We star...
In this paper we present some large deviation results for compound Markov renewal processes. We star...
AbstractLet Y1, Y2, … be a stochastic process and M a positive real number. Define the level crossin...
The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay...
Using martingale methods, we derive a set of theorems of boundary crossing probabilities for a Brown...
This paper takes up three parametric cases－the normal, Poisson, exponential cases－in order to study ...
Since its inception in 1974, the level crossing approach for analyzing a large class of stochastic m...
We compute the posterior distributions of the initial population and parameter of binary branching p...
The theory of large deviations deals with rates at which probabilities of certain events decay as a ...
© 2008 Dr. Andrew Nicholas DownesThis thesis is concerned with boundary crossing probabilities and f...