Results 21 to 30 of about 32,949 (205)
Entropy, 2022 This paper addresses the asynchronous stabilization problem of two typical stochastic switching systems, i.e., dual switching systems and semi-Markov jump systems.
Yushu Deng +5 more
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SAGE Open, 2022 This study involved a systematic literature review using bibliometric analysis to examine the evolution and current trends of Markov switching studies. The bibliometric analysis was used for the descriptive, intellectual, social, and conceptual network ...
Seuk Wai Phoong +2 more
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Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing
Risks, 2023 Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee–Carter model often assumes
Huijing Li, Rui Zhou, Min Ji
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Investigating the Effect of Macroeconomic Variables on Business Cycles in Iran, Markov-Switching Model Approach [PDF]
مدلسازی اقتصادسنجی, 2020 One of the key issues that economists face when analyzing the evolution of economic activity is the attempt to explain business cycles. The behavior of macro variables during the business cycles and the effect of monetary and fiscal policy on their ...
Mohammad Ali Asaadi +2 more
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Event-Based Consensus Tracking for Nonlinear Multi-Agent Systems Under Semi-Markov Jump Topology
IEEE Access, 2021 This paper studies the event-triggering leader-follower consensus with the strictly dissipative performance for nonlinear multi-agent systems (MASs) with semi-Markov changing topologies.
Jiafeng Yu +4 more
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Efficient estimation of Markov-switching model with application in stock price classification [PDF]
Mathematics and Modeling in Finance, 2021 In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation
Farshid Mehrdoust +2 more
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Markov-Switching Quantile Autoregression [PDF]
SSRN Electronic Journal, 2014 This paper considers the location‐scale quantile autoregression in which the location and scale parameters are subject to regime shifts. The regime changes in lower and upper tails are determined by the outcome of a latent, discrete‐state Markov process.
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Option Pricing with Markov Switching [PDF]
Journal of Data Science, 2021 In this article, we consider a model of time-varying volatility which generalizes the classical Black-Scholes model to include regime-switching properties. Specically, the unobservable state variables for stock uctu- ations are modeled by a Markov process, and the drift and volatility pa- rameters take dierent values depending on the state of this ...
Fuh, Cheng-Der +3 more
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Stability of reaction–diffusion systems with stochastic switching
Nonlinear Analysis, 2019 In this paper, we investigate the stability for reaction systems with stochastic switching. Two types of switched models are considered: (i) Markov switching and (ii) independent and identically distributed switching.
Lijun Pan, Jinde Cao, Ahmed Alsaedi
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Control problem for the impulse process under stochastic optimization procedure and Levy conditions
Математичні Студії, 2021 A stochastic approximation procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and impulse perturbation under Levy approximation conditions with control, which is
Ya. M. Chabanyuk +2 more
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