Results 21 to 30 of about 13,921 (215)
Markov-Switching GARCH Models in R: The MSGARCH Package
Journal of Statistical Software, 2019 We describe the package MSGARCH, which implements Markov-switching GARCH (generalized autoregressive conditional heteroscedasticity) models in R with efficient C++ object-oriented programming.
David Ardia +4 more
doaj +1 more source
Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
doaj +1 more source
Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
doaj +1 more source
ASYMPTOTICS OF CONTROL PROBLEM FOR THE DIFFUSION PROCESS IN MARKOV ENVIRONMENT
Міжнародний науково-технічний журнал "Проблеми керування та інформатики", 2020 A stochastic optimization procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and diffusion perturbation with control, which is determined by the condition for ...
Я.М. Чабанюк +2 more
doaj +1 more source
MathematicsRegime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis.
Zhenni Tan, Yuehua Wu
doaj +1 more source
Weaving Intelligence: Thermally Drawn Multimaterial Fibers Toward AI‐Enabled Smart Textiles
Advanced Materials, EarlyView.Thermally drawn multimaterial fibers are rapidly advancing as intelligent structural units for next‐generation smart textiles. Integrating multimaterial architectures with neuromorphic and spiking‐neural‐network principles enables fabrics that can sense, compute, and adapt autonomously.
Vuong Dinh Trung +9 more
wiley +1 more source
Angewandte Chemie, EarlyView.This work explores the interactions between the oxazine dye ATTO655 and two macrocyclic hosts using optical (single‑molecule) spectroscopy. Although ATTO655 forms a classical inclusion complex with cucurbit[8]uril (CB8), its interaction with p‑sulfonatocalix[4]arene (sCX4) leads to the formation of dim exclusion complexes.
Siyu Lu +7 more
wiley +2 more sources
Markov Switching Model for Financial Time Series [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014 ...
Alina Barbulescu +1 more
doaj
Optimal Control with Partially Observed Regime Switching: Discounted and Average Payoffs
Mathematics, 2022 We consider an optimal control problem with the discounted and average payoff. The reward rate (or cost rate) can be unbounded from above and below, and a Markovian switching stochastic differential equation gives the state variable dynamic.
Beatris Adriana Escobedo-Trujillo +3 more
doaj +1 more source
Learning Highly Dynamic Skills Transition for Quadruped Jumping Through Constrained Space
Advanced Robotics Research, EarlyView.A quadruped robot masters dynamic jumps through constrained spaces with animal‐inspired moves and intelligent vision control. This hierarchical learning approach combines imitation of biological agility with real‐time trajectory planning. Although legged animals are capable of performing explosive motions while traversing confined spaces, replicating ...
Zeren Luo +6 more
wiley +1 more source