Results 81 to 90 of about 830,323 (220)
Journal of Mathematical Analysis and Applications, 2018 This paper shows the existence of lower semicontinuous solutions of the average cost optimality equation for Markov decision processes with Borel spaces, possible unbounded cost function and weakly continuous transition kernel.
Óscar Vega-Amaya
semanticscholar +1 more source
Valuation of Defaultable Corporate Bonds Under Regime Switching
MathematicsThis study investigates the valuation of defaultable corporate bonds using a two-factor model of Markov-modulated stochastic volatility with double exponential jumps (2FMMSVDEJ).
Yu-Min Lian, Jun-Home Chen
doaj +1 more source
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES [PDF]
International Journal of Theoretical and Applied Finance, 2012 We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We multiply such a propagator with a positive, time-dependent and decreasing weight function, and integrate the product over time.
Jiro Akahori, Andrea Macrina
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An Iterative Reduced KPCA Hidden Markov Model for Gas Turbine Performance Fault Diagnosis
Energies, 2018 To improve gas-path performance fault pattern recognition for aircraft engines, a new data-driven diagnostic method based on hidden Markov model (HMM) is proposed.
Feng Lu +3 more
doaj +1 more source
Statistical estimation of ergodic Markov chain kernel over discrete state space
, 2018 We investigate the statistical complexity of estimating the parameters of a discrete-state Markov chain kernel from a single long sequence of state observations.
Geoffrey Wolfer, A. Kontorovich
semanticscholar +1 more source
Entropy, 2004 We define heat kernel measure on punctured spheres. The random field which is got by this procedure is not Gaussian. We define a stochastic line bundle on the loop space, such that the punctured sphere corresponds to a generalized parallel transport on ...
Rémi Léandre
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Markov Blanket Ranking Using Kernel-Based Conditional Dependence Measures [PDF]
, 2019 10 pages, 4 figures, 2 algorithms, NIPS 2013 Workshop on Causality, code: github.com/ericstrobl/
Strobl, Eric V., Visweswaran, Shyam
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Duality and intertwining for discrete Markov kernels: relations and examples [PDF]
Advances in Applied Probability, 2011 We supply some relations that establish intertwining from duality and give a probabilistic interpretation. This is carried out in the context of discrete Markov chains, fixing up the background of previous relations established for monotone chains and their Siegmund duals. We revisit the duality for birth-and-death chains and the nonneutral Moran model,
Huillet, Thierry, Martinez, Servet
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Derivative Formula and Applications for Hyperdissipative Stochastic Navier-Stokes/Burgers Equations [PDF]
, 2010 By using coupling method, a Bismut type derivative formula is established for the Markov semigroup associated to a class of hyperdissipative stochastic Navier-Stokes/Burgers equations.
Wang, Feng-Yu, Xu, Lihu
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Bayesian kernel-based system identification with quantized output data
, 2015 In this paper we introduce a novel method for linear system identification with quantized output data. We model the impulse response as a zero-mean Gaussian process whose covariance (kernel) is given by the recently proposed stable spline kernel, which ...
Bottegal, Giulio +2 more
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