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Finite state Markovchain approximations to univariate and vector autoregressions
 Economics Letters
, 1986
"... The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1. ..."
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Cited by 493 (0 self)
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The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1.
Markov chain approximations for symmetric jump processes
 Potential Anal
"... gemeinschaft getragenen Sonderforschungsbereichs 611 an der Universität Bonn entstanden und als Manuskript vervielfältigt worden. Bonn, April 2007 Markov chain approximations for symmetric jump processes Ryad Husseini ∗ Moritz Kassmann†‡ ..."
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Cited by 5 (2 self)
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gemeinschaft getragenen Sonderforschungsbereichs 611 an der Universität Bonn entstanden und als Manuskript vervielfältigt worden. Bonn, April 2007 Markov chain approximations for symmetric jump processes Ryad Husseini ∗ Moritz Kassmann†‡
Markov chain approximations to nonsymmetric
"... We consider a certain class of nonsymmetric Markov chains and obtain heat kernel bounds and parabolic Harnack inequalities. Using the heat kernel estimates, we establish a sufficient condition for the family of Markov chains to converge to nonsymmetric diffusions. As an application, we approximat ..."
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approximate nonsymmetric diffusions in divergence form with bounded coefficients by nonsymmetric Markov chains. This extends the results by StroockZheng ([SZ]) to the nonsymmetric divergence forms. c © 2000 Wiley Periodicals, Inc. 1
MARKOV CHAIN APPROXIMATIONS FOR TRANSITION DENSITIES OF LÉVY PROCESSES
, 1211
"... Abstract. We consider the convergence of a continuoustime Markov chain approximation X h, h> 0, to an Rvalued Lévy process X. The state space of X h is an equidistant lattice and its Qmatrix is chosen to approximate the generator of X. Under a general sufficient condition for the existence of ..."
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Abstract. We consider the convergence of a continuoustime Markov chain approximation X h, h> 0, to an Rvalued Lévy process X. The state space of X h is an equidistant lattice and its Qmatrix is chosen to approximate the generator of X. Under a general sufficient condition for the existence
Dynamic System Evolution and Markov Chain Approximation
 Discrete Dynamics in NS, Gordon & Breach
, 1998
"... In this paper computational aspects of the mathematical modelling of dynamic system evolution have been considered as a problem in information theory. The construction of such models is treated as a decision making process with limited available information. The solution of the problem is associated ..."
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Cited by 5 (4 self)
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is associated with a computational model based on heuristics of a Markov Chain in a discrete spacetime of events. A stable approximation of the chain has been derived and the limiting cases are discussed. An intrinsic interconnection of constructive, sequential, and evolutionary approaches in related
A Markov Chain Approximation to Choice Modeling
 SUBMITTED TO OPERATIONS RESEARCH
"... Assortment planning is an important problem that arises in many industries such as retailing and airlines. One of the key challenges in an assortment planning problem is to identify the “right ” model for the substitution behavior of customers from the data. Error in model selection can lead to high ..."
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Cited by 4 (1 self)
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for substitution behavior where substitution from one product to another is modeled as a state transition of a Markov chain. We show that the choice probabilities computed by our model are a good approximation to the true choice probabilities for any random utility based choice model under mild conditions
Markov Chains Approximation of JumpDiffusion Quantum Trajectories
, 2008
"... “Quantum trajectories ” are solutions of stochastic differential equations also called Belavkin or Stochastic Schrödinger Equations. They describe random phenomena in quantum measurement theory. Two types of such equations are usually considered, one is driven by a onedimensional Brownian motion an ..."
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Cited by 2 (2 self)
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of generators of classical Markov chains which describe discrete models of quantum trajectories. Furthermore, stochastic models of jumpdiffusion equations are physically justified by proving that their solutions can be obtained as the limit of the discrete trajectories. 1
MARKOV CHAIN APPROXIMATIONS TO SCALE FUNCTIONS OF LÉVY PROCESSES
"... Abstract. We introduce a general algorithm for the computation of the scale functions of a spectrally negative Lévy process X, based on a natural weak approximation of X via upwards skipfree continuoustime Markov chains with stationary independent increments. The algorithm consists of evaluating ..."
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Abstract. We introduce a general algorithm for the computation of the scale functions of a spectrally negative Lévy process X, based on a natural weak approximation of X via upwards skipfree continuoustime Markov chains with stationary independent increments. The algorithm consists of evaluating
Results 1  10
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19,394