We register a random sequence which has the following properties: it has three segments being the homogeneous Markov processes. Each segment has his own one step transition probability law and the length of the segment is unknown and random. It means that at two random successive moments (they...

This double-issue contains 11 papers invited for the first special issue on “Computational methods for Russian economic and financial modelling”. It was an attempt to explore and bring together practical, state-of-the-art applications of computational techniques with a particular focus on...

The development of probability theory together with the Bayesian approach in the three last centuries is caused by two factors: the variability of the physical phenomena and partial ignorance about them. As now it is standard to believe [Dubois, 2007], the nature of these key factors is so...

This paper aims to study the sensitivity of Bayes estimate of location parameter of an Inverse Gaussian (IG) distribution to misspecification in the prior distribution. It also studies the effect of misspecification of the prior distribution on two-sided predictive limits for a future...

In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...

In this paper we derive the Bayes estimates of the location parameter of normal and lognormal distribution under the hierarchical priors for the vector parameter, . The ML-II ε-contaminated class of priors are employed at the second stage of hierarchical priors to examine the robustness of...

Bayesian rational prior equilibrium requires agent to make rational statistical predictions and decisions, starting with first order non informative prior and keeps updating with statistical decision theoretic and game theoretic reasoning until a convergence of conjectures is achieved. The main...

The aim of the paper is the axiomatic justification of the theory of experience and chance, one of the dual halves of which is the Kolmogorov probability theory. The author’s main idea was the natural inclusion of Kolmogorov’s axiomatics of probability theory in a number of general concepts...

This work is the third, but not the last, in the cycle begun by the works [23, 22] about the new theory of experience and chance as the theory of co~events. Here I introduce the concepts of two co~event means, which serve as dual co~event characteristics of some co~event. The very idea of dual...

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during...