Results 21 to 30 of about 11,121 (142)
On Relationship between Ergodic Sojourn Time and Ergodic Residual Exit Time for Semi-Markov Processes [PDF]
, 2008 For Markov chains in continuous time Keilson(1979) has shown thatthe relationship between the ergodic exit time TE and the ergodic sojourn timeTV is identical to the relationship between the residual lifetime and the underlyinglifetime at ergodicity in ...
Sumita Ushio, Yoshii Jun
core
People and Nature, EarlyView.Abstract The societal and biophysical permeability across human‐demarcated jurisdictions within watersheds necessitates collaboration among administrative regions. The effectiveness of such collaboration is partly determined by the degree to which institutional arrangements align with underlying social and ecological interdependencies, a concept ...
Fang Wang +3 more
wiley +1 more source
A semi-Markov model with memory for price changes
, 2011 We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also on a memory ...
D’Amico G Petroni F +3 more
core +1 more source
, 2020 It is well-known that compositions of Markov processes with inverse subordinators are governed by integro-differential equations of generalized fractional type.
Beghin, Luisa +2 more
core +1 more source
A note on intraday option pricing [PDF]
, 2013 Compound renewal processes can be used as an approximate phenomenological model of tick-by-tick price fluctuations. An exact and explicit general formula is derived for the martingale price of a European call option written on a compound renewal process.
Scalas, Enrico, Politi, Mauro
core +3 more sources
Measured‐State Conditioned Recursive Feasibility for Stochastic Model Predictive Control
International Journal of Robust and Nonlinear Control, EarlyView.ABSTRACT In this paper, we address the problem of designing stochastic model predictive control (SMPC) schemes for linear systems affected by unbounded disturbances. The contribution of the paper is rooted in a measured‐state initialization strategy. First, due to the nonzero probability of violating chance‐constraints in the case of unbounded noise ...
Mirko Fiacchini +2 more
wiley +1 more source
A renewal theory approach to periodic copolymers with adsorption [PDF]
, 2005 We consider a general model of a heterogeneous polymer chain fluctuating in the proximity of an interface between two selective solvents. The heterogeneous character of the model comes from the fact that the monomer units interact with the solvents and ...
Caravenna, Francesco +2 more
core +5 more sources
Annals of Public and Cooperative Economics, EarlyView.Abstract Smallholder market participation studies often focus narrowly on selling decisions, overlooking the institutional role of agricultural cooperatives, particularly in contexts like Rwanda, where cooperatives underpin agricultural policy. Consequently, empirical evidence on how cooperative membership shapes farmers’ commercialization across ...
John N. Ng'ombe +3 more
wiley +1 more source
Levy Approximation of Impulsive Recurrent Process with Semi-Markov Switching [PDF]
, 2009 In this paper, the weak convergence of impulsive recurrent process with semi-Markov switching in the scheme of Levy approximation is proved. Singular perturbation problem for the compensating operator of the extended Markov renewal process is used to ...
Koroliuk, V. S. +2 more
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A Semi-Markov Modulated Interest Rate Model
, 2012 In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process.
D'Amico, Guglielmo +2 more
core +1 more source