Overview
- Only book that treats the theory of matrix-exponential distributions comprehensively
- Students will benefit from obtaining general tools which may be applied in a variety of situations.
- The matrix—exponential methodology allows for calculating quantities in advanced stochastic models explicitly
Part of the book series: Probability Theory and Stochastic Modelling (PTSM, volume 81)
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Table of contents (13 chapters)
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Front Matter
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Back Matter
Keywords
- Applied probability
- Markov Processes
- Matrix--exponential distributions
- Numerical methods
- Stochastic modeling
- Uncertainty quantification
- Phase-type distributions
- Renewal theory
- Random walks
- Ladder Processes
- Regenerative methods
- Probability theory and stochastic processes
- Operations Research
- Management Science
About this book
This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with rational Laplace transforms. If the matrix has the structure of a sub-intensity matrix for a Markov jump process we obtain a PH distribution which allows for nice probabilistic interpretations facilitating the derivation of exact solutions and closed form formulas.
The full potential of ME and PH unfolds in their use in stochastic modelling. Several chapters on generic applications, like renewal theory, random walks and regenerative processes, are included together with some specific examples from queueing theory and insurance risk. We emphasize our intention towards applications by including an extensive treatmenton statistical methods for PH distributions and related processes that will allow practitioners to calibrate models to real data.Aimed as a textbook for graduate students in applied probability and statistics, the book provides all the necessary background on Poisson processes, Markov chains, jump processes, martingales and re-generative methods. It is our hope that the provided background may encourage researchers and practitioners from other fields, like biology, genetics and medicine, who wish to become acquainted with the matrix-exponential method and its applications.
Reviews
“This book may be used as a graduate-level textbook, and the authors provide outlines of several possible courses based on it, as well as exercises at the end of each chapter. ... this book is a very good introduction to phase-type and matrix-exponential distributions, which manages to effectively convey the scope of their applications across probability and statistics, and seems well suited to its intended graduate-level audience.” (Fraser Daly, zbMATH 1375.60002, 2018)
Authors and Affiliations
About the authors
Mogens Bladt is a researcher in the Department of Probability and Statistics at the Institute for Applied Mathematics and Systems, National University of Mexico (UNAM).
Bibliographic Information
Book Title: Matrix-Exponential Distributions in Applied Probability
Authors: Mogens Bladt, Bo Friis Nielsen
Series Title: Probability Theory and Stochastic Modelling
DOI: https://doi.org/10.1007/978-1-4939-7049-0
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media LLC 2017
Hardcover ISBN: 978-1-4939-7047-6Published: 19 May 2017
Softcover ISBN: 978-1-4939-8377-3Published: 27 July 2018
eBook ISBN: 978-1-4939-7049-0Published: 18 May 2017
Series ISSN: 2199-3130
Series E-ISSN: 2199-3149
Edition Number: 1
Number of Pages: XVII, 736
Number of Illustrations: 37 b/w illustrations, 21 illustrations in colour
Topics: Probability Theory and Stochastic Processes, Operations Research, Management Science