Related papers: The potential approach in practice

In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

The optical potential is a powerful instrument for calculations on a wide variety of nuclear reactions, in particular, for quasi-elastic lepton-nucleus scattering. Phenomenological optical potentials are successful in the description of…

Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…

This paper proposes a new model for individuals movement in ecology. The movement process is defined as a solution to a stochastic differential equation whose drift is the gradient of a multimodal potential surface. This offers a new…

We revisit the symbolic verification of Markov chains with respect to finite horizon reachability properties. The prevalent approach iteratively computes step-bounded state reachability probabilities. By contrast, recent advances in…

This paper presents a novel theoretical Monte Carlo Markov chain procedure in the framework of graphs. It specifically deals with the construction of a Markov chain whose empirical distribution converges to a given reference one. The Markov…

Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…

This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…

This paper provides a review of model selection and model averaging methods for multinomial probit models estimated using the MACML approach. The proposed approaches are partitioned into test based methods (mostly derived from the…

A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the…

In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model…

Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…

In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…

This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the…

We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…

We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for a contingent…

Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…

The potential influence diagram is a generalization of the standard "conditional" influence diagram, a directed network representation for probabilistic inference and decision analysis [Ndilikilikesha, 1991]. It allows efficient inference…

In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…