This note characterizes the impact of adding rare stochastic mutations to an "imitation dynamic," meaning a process with the properties that any state where all agents use the same strategy is absorbing, and all other states are transient. The work of Freidlin and Wentzell [10] and its...

In this paper we study the connection between matrix measures and random walks with a tridiagonal block transition matrix. We derive sufficient conditions such that the blocks of the n-step transition matrix of the Markov chain can be represented as integrals with respect to a matrix valued...

In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...

In this paper we study the connection between matrix measures and random walks with a tridiagonal block transition matrix. We derive sufficient conditions such that the blocks of the n-step transition matrix of the Markov chain can be represented as integrals with respect to a matrix valued...

In this paper we study the connection between matrix measures and random walks with a tridiagonal block transition matrix. We derive sufficient conditions such that the blocks of the n-step transition matrix of the Markov chain can be represented as integrals with respect to a matrix valued...