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A first step to implement Gillespie’s algorithm with rejection sampling

Duan, Qihong; Liu, Junrong - In: Statistical Methods and Applications 24 (2015) 1, pp. 85-95

<Para ID="Par1">It is well known that firings of a well-stirred chemically reacting system can be described by a continuous-time Markov chain. The currently-used exact implementations of Gillespie’s algorithm simulate every reaction event individually and thus the computational cost is inevitably high. In...</para>

Persistent link: https://www.econbiz.de/10011241333

Time-consistent investment policies in Markovian markets : a case of mean-variance analysis

Chen, Zhiping; Li, Gang; Zhao, Yonggan - In: Journal of economic dynamics & control 40 (2014), pp. 293-316

Persistent link: https://www.econbiz.de/10010424358

Time consistent multi-period robust risk measures and portfolio selection models with regime-switching

Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385

Persistent link: https://www.econbiz.de/10011813114

Option pricing for pure jump processes with Markov switching compensators

Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275

Persistent link: https://www.econbiz.de/10003334921

A hidden Markov model of credit quality

Korolkiewicz, Małgorzata W.; Elliott, Robert J. - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3807-3819

Persistent link: https://www.econbiz.de/10003804739

Investment timing under regime switching

Elliott, Robert J.; Miao, Hong; Yu, Jin - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 443-463

Persistent link: https://www.econbiz.de/10003879069

A PDE approach for risk measures for derivatives with regime switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10003589415

Option pricing for GARCH models with Markov switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 825-841

Persistent link: https://www.econbiz.de/10003380278

Pricing volatility swaps under Heston's stochastic volatility model with regime switching

Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62

Persistent link: https://www.econbiz.de/10003542938

A Hidden Markov approach to the forward premium puzzle

Elliott, Robert J.; Han, Bing - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1009-1020

Persistent link: https://www.econbiz.de/10003395950