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Search: subject:"Markov chain approximation method"
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Markov chain approximation method
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Jin, Zhuo
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KOURITZIN, MICHAEL A.
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European journal of operational research : EJOR
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International Journal of Theoretical and Applied Finance (IJTAF)
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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Jin, Zhuo
;
Liu, Guo
;
Yang, Hailiang
- In:
European journal of operational research : EJOR
280
(
2020
)
3
,
pp. 1130-1143
Persistent link: https://www.econbiz.de/10012132524
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2
BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
KOURITZIN, MICHAEL A.
;
ZENG, YONG
- In:
International Journal of Theoretical and Applied …
08
(
2005
)
01
,
pp. 97-121
for them and then applying the
Markov
chain
approximation
method
to yield a recursive algorithm. We prove the consistency …
Persistent link: https://www.econbiz.de/10005050499
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