Related papers: Markov switching quadratic term structure models

In a previous paper we determined one dimensional distributions of a stationary field with linear regressions and quadratic conditional variances under a linear constraint on the coefficients of the quadratic expression. In this paper we…

We derive the explicit form of the rate function for semi-Markov processes. Here, the "random time change trick" plays an essential role. Also, by exploiting the contraction principle of the large deviation theory to the explicit form, we…

We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patterns of exclusion restrictions to identify structural shocks…

The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…

First passage of stochastic processes under resetting has recently been an active research topic in the field of statistical physics. However, most of previous studies mainly focused on the systems with continuous time and space. In this…

A general theory is developed to study individual based models which are discrete in time. We begin by constructing a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are…

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…

Discrete time linear dynamical systems, including Markov chains, have found many applications including in security settings such as in cybersecurity operations center (CSOC) management and in managing health risks. However, in these two…

A statistical language model assigns probability to strings of arbitrary length. Unfortunately, it is not possible to gather reliable statistics on strings of arbitrary length from a finite corpus. Therefore, a statistical language model…

We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…

We investigate the dynamics of a quantum system subjected to a time-dependent and conditional resetting protocol. Namely, we ask: what happens when the unitary evolution of the system is repeatedly interrupted at random time instants with…

In this paper, we introduce a time-continuous production model that enables random machine failures, where the failure probability depends historically on the production itself. This bidirectional relationship between historical failure…

We study the properties of a subclass of stochastic processes called discrete time nonlinear Markov chains with an aggregator, which naturally appear in various topics such as strategic queueing systems, inventory dynamics, opinion…

We consider a non-cooperative constrained stochastic games with N players with the following special structure. With each player there is an associated controlled Markov chain. The transition probabilities of the i-th Markov chain depend…

For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and…

We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the…

This paper investigates the financial economics of simple periodic systems. Well-established financial procedures appear to be complicated, and lead to partially biased results. Probability theory is applied, and the focus is on the…

We give a simple algorithm to incorporate the effects of resets in convertible bond prices, without having to add an extra factor to take into account the value of the reset. Furthermore we show that the effect of a notice period, and…

We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…

We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded. We prove the existence of the value of the game and a…