| Publication | Date of Publication | Type |
|---|
Markov processes for the management of a microgrid
| 2024-09-24 | Paper |
A micro-to-macro approach to returns, volumes and waiting times
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Optimal investment-disinvestment choices in health-dependent variable annuity
Insurance Mathematics \& Economics | 2024-07-17 | Paper |
A semi-Markovian approach to drawdown-based measures
Advances in Complex Systems | 2024-05-06 | Paper |
Dividend based risk measures: a Markov chain approach
Applied Mathematics and Computation | 2024-04-18 | Paper |
The mixture transition distribution approach to networks: evidence from stock markets
Physica A | 2024-04-15 | Paper |
An econometric analysis of drawdown based measures
Springer Proceedings in Mathematics & Statistics | 2024-03-16 | Paper |
Wind speed modeled as an indexed semi‐Markov process
Environmetrics | 2023-12-15 | Paper |
Perturbation analysis for dynamic poverty indexes
Communications in Statistics: Theory and Methods | 2023-09-11 | Paper |
ROCOF of higher order for semi-Markov processes
Applied Mathematics and Computation | 2022-12-07 | Paper |
Confidence sets for dynamic poverty indexes
Journal of Applied Statistics | 2022-11-02 | Paper |
Randentropy: a software to measure inequality in random systems
Informatica (Vilnius) | 2022-09-16 | Paper |
Hedging the risk of wind power production using dispatchable energy source
Stochastics and Quality Control | 2021-12-03 | Paper |
Valuation of R\&D compound option using Markov chain approach
Annals of Finance | 2021-11-04 | Paper |
A multivariate Markov chain stock model
Scandinavian Actuarial Journal | 2020-08-26 | Paper |
A copula-based Markov reward approach to the credit spread in the European Union
Applied Mathematical Finance | 2020-01-13 | Paper |
A new approach to the modeling of financial volumes
| 2019-10-17 | Paper |
Change point dynamics for financial data: an indexed Markov chain approach
Annals of Finance | 2019-06-28 | Paper |
Bivariate semi-Markov reward chain and credit spreads
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Optimal control of a dispatchable energy source for wind energy management
Stochastics and Quality Control | 2019-06-07 | Paper |
Dynamic measurement of poverty: modeling and estimation
Sankhyā. Series B | 2019-01-18 | Paper |
Insuring wind energy production
Physica A | 2018-11-13 | Paper |
The study of basic risk processes by discrete-time non-homogeneous Markov processes
Theory of Probability and Mathematical Statistics | 2018-10-10 | Paper |
Homogeneous discrete time alternating compound renewal process: a disability insurance application
Mathematical Problems in Engineering | 2018-08-27 | Paper |
Copula based multivariate semi-Markov models with applications in high-frequency finance
European Journal of Operational Research | 2018-07-25 | Paper |
Novel advancements in the Markov chain stock model: analysis and inference
Annals of Finance | 2017-10-13 | Paper |
On the limit distribution of a second-order semi-Markov chain in state and duration
Communications in Statistics: Theory and Methods | 2017-08-23 | Paper |
Multi-state models for evaluating conversion options in life insurance
Modern Stochastics. Theory and Applications | 2017-07-04 | Paper |
Step semi-Markov models and application to manpower management
ESAIM: Probability and Statistics | 2017-01-12 | Paper |
Semi-Markov migration models for credit risk
| 2016-07-13 | Paper |
Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings
Methodology and Computing in Applied Probability | 2016-01-14 | Paper |
Discrete time homogeneous Markov processes for the study of the basic risk processes
Methodology and Computing in Applied Probability | 2016-01-14 | Paper |
Performance analysis of second order semi-Markov chains: an application to wind energy production
Methodology and Computing in Applied Probability | 2015-09-23 | Paper |
Storage impulsive processes on increasing time intervals
Theory of Probability and Mathematical Statistics | 2015-09-08 | Paper |
Stochastic impulsive processes on a superposition of two renewal processes
Journal of Mathematical Sciences (New York) | 2015-08-03 | Paper |
Single-use reliability computation of a semi-Markovian system.
Applications of Mathematics | 2015-01-27 | Paper |
scientific article; zbMATH DE number 6390866 (Why is no real title available?)
| 2015-01-26 | Paper |
A semi-Markov approach to the stock valuation problem
Annals of Finance | 2014-11-12 | Paper |
Storage impulsive processes in the merging phase space
Journal of Mathematical Sciences (New York) | 2014-10-13 | Paper |
Bivariate semi-Markov process for counterparty credit risk
Communications in Statistics: Theory and Methods | 2014-06-11 | Paper |
A semi-Markov modulated interest rate model
Statistics \& Probability Letters | 2014-02-11 | Paper |
Semi-Markov disability insurance models
Communications in Statistics. Theory and Methods | 2013-11-14 | Paper |
The Input Evaluation of Generalized Bernoulli Processes for Salary Lines Construction by Means of Continuous Time Generalized Non-Homogeneous Semi-Markov Processes
Communications in Statistics. Theory and Methods | 2013-11-14 | Paper |
HIV evolution: a quantification of the effects due to age and to medical progress
| 2013-04-30 | Paper |
Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models
Advances in Decision Sciences | 2013-01-10 | Paper |
Duration dependent semi-Markov models
Applied Mathematical Sciences (Ruse) | 2012-07-11 | Paper |
Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
Computational Economics | 2012-01-13 | Paper |
Age-usage semi-Markov models
Applied Mathematical Modelling | 2011-11-11 | Paper |
A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
International Journal of Theoretical and Applied Finance | 2011-06-10 | Paper |
A customer's utility measure based on the reliability of multi-state systems
Decisions in Economics and Finance | 2011-05-25 | Paper |
A convergence result in the estimation of Markov chains with application to compound options
Journal of Statistical Theory and Practice | 2011-04-18 | Paper |
Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
Journal of Statistics and Management Systems | 2010-06-17 | Paper |
Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
Methodology and Computing in Applied Probability | 2010-05-28 | Paper |
scientific article; zbMATH DE number 5683075 (Why is no real title available?)
| 2010-03-18 | Paper |
The crossing barrier of a non-homogeneous semi-Markov chain
Stochastics | 2010-03-18 | Paper |
Semi-Markov reliability models with recurrence times and credit rating applications
Journal of Applied Mathematics and Decision Sciences | 2009-11-23 | Paper |
Patient's age depending HIV/AIDS evolution analysis by means of a non-homogeneous semi-Markov model
| 2009-08-06 | Paper |
scientific article; zbMATH DE number 5521284 (Why is no real title available?)
| 2009-02-28 | Paper |
Monte Carlo semi-Markov methods for credit risk migration models and Basel II rules. II.
| 2009-02-28 | Paper |
The Dynamic Behaviour of Non-Homogeneous Single-Unireducible Markov and Semi-Markov Chains
Lecture Notes in Economics and Mathematical Systems | 2009-02-26 | Paper |
A semi-Markov maintenance model with credit rating application
IMA Journal of Management Mathematics | 2009-02-24 | Paper |
A stochastic model for the HIV/AIDS dynamic evolution
Mathematical Problems in Engineering | 2008-11-24 | Paper |
A 13-state homogeneous semi-Markov model for predicting the HIV disease evolution: a case study
| 2008-06-18 | Paper |
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
Computational Economics | 2007-08-17 | Paper |
Homogeneous semi-Markov reliability models for credit risk management
Decisions in Economics and Finance | 2006-03-09 | Paper |
