Related papers: A Semi-Markov Modulated Interest Rate Model
Semi-Markov models are widely used for survival analysis and reliability analysis. In general, there are two competing parameterizations and each entails its own interpretation and inference properties. On the one hand, a semi-Markov…
The standard version of the policy iteration (PI) algorithm fails for semicontinuous models, that is, for models with lower semicontinuous one-step costs and weakly continuous transition law. This is due to the lack of continuity properties…
In this paper we study limit behavior for a Markov-modulated (MM) binomial counting process, also called a binomial counting process under regime switching. Such a process naturally appears in the context of credit risk when multiple…
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…
We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.…
Semi-Markov model is one of the most general models for stochastic dynamic systems. This paper deals with a two-person zero-sum game for semi-Markov processes. We focus on the expected discounted payoff criterion with state-action-dependent…
Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…
This paper studies average-cost Markov decision processes with semi-uniform Feller transition probabilities. This class of MDPs was recently introduced by the authors to study MDPs with incomplete information. This paper studies the…
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with…
The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future payments and equivalence premiums can be obtained as explicit…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
Multi-type Markov point processes offer a flexible framework for modelling complex multi-type point patterns where it is pertinent to capture both interactions between points as well as large scale trends depending on observed covariates.…
Semi-Markov processes are a generalization of Markov processes since the exponential distribution of time intervals is replaced with an arbitrary distribution. This paper provides an integro-differential form of the Kolmogorov's backward…
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility model with unbounded drift. Relying on a perturbation…
New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…
We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…