Occupation times for two state Markov chains

DOI10.2307/3211908MaRDI QIDQ5628987zbMATH OpenOpenAlexFDO

Authors P. J. Pedler

Publication date 1971

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3211908

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited in

(15)

• Effect of institutional deleveraging on option valuation problems
• Explicit formula for the density of local times of Markov jump processes
• Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains
• Contact process on a dynamical long range percolation
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
• VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
• A G/M/1-queue with exponential retrial
• On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment
• Occupation times and Bessel densities
• The impact of negative interest rates on optimal capital injections
• Some characterizations for Brownian motion with Markov switching
• Intervene in advance or passively? Analysis and application on congestion control of smart grid
• Dividend optimisation: a behaviouristic approach
• The basic reproduction number and the probability of extinction for a dynamic epidemic model
• Estimation of regime-switching diffusions via Fourier transforms

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