ALARUMS AND EXCURSIONS: Applications of barrier crossing problems
ABSTRACT:
In this talk I will consider some of the applications to which
first passage and barrier crossing problems for variants
of the Wiener process can be applied. Illustrations will be
taken from option pricing, models of hospital length of stay,
models of fatigue in structures, and genetic linkage analysis.
The problems are interesting mathematically, and although the basic
applications are conceptually simple, it is worth keeping these
structures and their extensions in mind as modelling tools.
About the Speaker
Prof. Thompson is currently a professor in the Department of Statisics
and Acturial Science at the University of Waterloo. She is also the
current president of the Statistical Society of Canada. Prof. Thompson's
research interests have included the analysis and design of sample
surveys on which she published a book in 1997. Other interests include
the properties of stochastic systems particularly the applications to
environmental processes with spatial and temporal components.
References
Some relevant background references will be posted here shortly.
