相关论文: Fluctuation identities for omega-killed Markov add…

Markov chain Monte Carlo (MCMC) algorithms are widely used to sample from complicated distributions, especially to sample from the posterior distribution in Bayesian inference. However, MCMC is not directly applicable when facing the doubly…

We study the general approach to accelerating the convergence of the most widely used solution method of Markov decision processes with the total expected discounted reward. Inspired by the monotone behavior of the contraction mappings in…

This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…

Markov-modulated Brownian motion is a popular tool to model continuous-time phenomena in a stochastic context. The main quantity of interest is the invariant density, which satisfies a differential equation associated with the quadratic…

We introduce the hybrid risk process, constructed via a time-change transformation applied to the solution of a hybrid stochastic differential equation. The framework covers several modern ruin settings, incorporating features like…

The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal…

For a positive self-similar Markov process, X, we construct a local time for the random set, $\Theta$, of times where the process reaches its past supremum. Using this local time we describe an exit system for the excursions of X out of its…

In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…

This paper studies birth and death processes in interactive random environments where the birth and death rates and the dynamics of the state of the environment are dependent on each other. Two models of a random environment are considered:…

We show how Markov mixed membership models (MMMM) can be used to predict the degradation of assets. We model the degradation path of individual assets, to predict overall failure rates. Instead of a separate distribution for each hidden…

In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial…

We consider a finite number of $N$ statistically equal agents, each moving on a finite set of states according to a continuous-time Markov Decision Process (MDP). Transition intensities of the agents and generated rewards depend not only on…

We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP is assumed to have Borel state and action spaces and the cost…

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…

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…

We provide probabilistic and computational results on Markovian multivariate Hawkes processes and induced population processes. By applying the Markov property, we characterize in closed form a joint transform, bijective to the probability…

We consider product of expansive Markov maps on an interval with hole which is conjugate to a subshift of finite type. For certain class of maps, it is known that the escape rate into a given hole does not just depend on its size but also…

In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…

Markov jump processes are widely used to model natural and engineered processes. In the context of biological or chemical applications one typically refers to the chemical master equation (CME), which models the evolution of the probability…

This paper studies the long-term behaviour of a continuous time Markov chain formed by two non-negative integer valued components that evolve subject to a competitive interaction. In the absence of interaction the Markov chain is just a…