Markov Switching for Position Dependent Random Maps with Application to Forecasting

DOI10.1137/040604042zbMATH Open1090.37040OpenAlexW2155870008MaRDI QIDQ5700599FDOQ5700599

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

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zbMATH Keywords

Markov switchingabsolutely continuous invariant measureFrobenius-Perron operatorrandom mapforecasting in financial markets

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) 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) Operations research and management science (90B99)

Cited In (6)

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

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