Explicit Computations for Some Markov Modulated Counting Processes

DOI10.1007/978-3-319-45875-5_3zbMath1369.60053arXiv1604.02617OpenAlexW2340421802MaRDI QIDQ4976494

Peter Spreij, M. R. H. Mandjes

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.02617

zbMATH Keywords

regime switchingMarkov chainMarkov modulated counting process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items

DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS

Uses Software

• mftoolbox

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov-modulated infinite-server queues with general service times
• Term-structure models. A graduate course
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Hybrid switching diffusions. Properties and applications
• Affine processes and applications in finance
• Optimal dividend distribution under Markov regime switching
• Weak convergence of Markov-modulated diffusion processes with rapid switching
• Markov-modulated Ornstein–Uhlenbeck processes
• Software Reliability as an Application of Martingale & Filtering Theory
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL
• Applied Probability and Queues
• ANALYSIS OF MARKOV-MODULATED INFINITE-SERVER QUEUES IN THE CENTRAL-LIMIT REGIME
• Functions of Matrices
• Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
• Credit risk: Modelling, valuation and hedging