publication . Other literature type . Article . 2012

Card counting in continuous time

Patrik Andersson;
Open Access English
  • Published: 01 Mar 2012
  • Publisher: Applied Probability Trust
Abstract
This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. In Paper II we propose a model describing an economy where companies may default due to contagion. The features of the model are analyzed using diffusion approximations. We show that the model can reproduce oscillations in the default rates similar to what has been observed empirically. In Paper III we consider the problem...
Subjects
free text keywords: Sampling without replacement, invariance principle, gambling theory, optimal control, 60G40, 60F17, Statistics, Probability and Uncertainty, Statistics and Probability, General Mathematics, Infinitesimal generator, Applied mathematics, Stochastic process, Mathematical economics, Lévy process, Short rate, Gambling and information theory, Linear combination, Discrete time and continuous time, Mathematics
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