Cerrato, Mario; Lo, Chia Chun; Skindilias, Konstantinos - Scottish Institute for Research in Economics (SIRE) - 2011
We propose a non-equidistant Q rate matrix formula and an adaptive numerical algorithm for a continuous time Markov … methods. The Kolmogorov-Smirnov test shows that the proposed Markov chain transition density converges to the one given by the …