Markov Switching for Position Dependent Random Maps with Application to Forecasting

DOI10.1137/040604042MaRDI QIDQ5700599zbMATH OpenOpenAlexFDO

Authors Wael Bahsoun, Paweł Góra, Abraham Boyarsky

Publication date 28 October 2005

Published in SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/040604042

zbMATH Keywords

absolutely continuous invariant measureforecasting in financial marketsFrobenius-Perron operatorMarkov switchingrandom map

Mathematics Subject Classification ID

Dynamical aspects of measure-preserving transformations (37A05) Ergodic theorems, spectral theory, Markov operators (37A30) Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Dynamical systems involving maps of the interval (37E05) Random dynamical systems (37H99) Dynamical systems in optimization and economics (37N40) Operations research and management science (90B99)

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Cited in

(6)

• Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
• Randomly chosen chaotic maps can give rise to nearly ordered behavior
• INVARIANT MEASURES FOR HIGHER DIMENSIONAL MARKOV SWITCHING POSITION DEPENDENT RANDOM MAPS
• Cryptography based on chaotic random maps with position dependent weighting probabilities
• Computing invariant measures of weakly convex random maps with position dependent probabilities
• Invariant densities of random maps have lower bounds on their supports

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