Stochastic Processes with Age-Dependent Transition Rates

DOI10.1080/07362994.2011.564455MaRDI QIDQ3005163zbMATH OpenOpenAlexFDO

Authors Mrinal K. Ghosh, Subhamay Saha

Publication date 7 June 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2011.564455

zbMATH Keywords

age-dependent transition ratesFeller propertysemi-Markov processestransition probabilitiestransition rate function

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• scientific article; zbMATH DE number 5728694 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• The theory of stochastic processes. II: Translated from the Russian by S. Kotz

Cited in

(14)

• A system of non-local parabolic PDE and application to option pricing
• A new H-theorem for age-dependent dynamics
• scientific article; zbMATH DE number 3922421 (Why is no real title available?)
• A note on the age of the absorbing semi-Markov process
• Risk sensitive portfolio optimization in a jump diffusion model with regimes
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• Transit-time and age distributions for nonlinear time-dependent compartmental systems
• Effects of Age Shift on the Tempo and Quantum of Non-Repeatable Events
• Inference of binary regime models with jump discontinuities
• Semimartingale representation of a class of semi-Markov dynamics
• A refined stability result for linear Markovian switching systems and its implications
• A probabilistic framework for describing a class of switching signals in continuous-time
• On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamics
• On merging of stochastic system of semi-Markov dynamics

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