Search Results - subject:"Semi-Markov-process"

Deep reinforcement learning in non-Markov market-making

Lalor, Luca; Sviščuk, Anatolij - 2025

We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump-Diffusion dynamics. We begin by discussing the basics of RL and the deep RL framework used; we deployed the...

Persistent link: https://www.econbiz.de/10015358963

A Semi-Markov dynamic capital injection problem for distressed banks

Di Persio, Luca; Prezioso, Luca; Jiang, Yilun - In: Risks : open access journal 11 (2023) 4, pp. 1-16

Our study investigates the optimal dividend strategy for a bank, taking into account the potential for government capital injections. We explore different types of government interventions, such as liberal, transparent, or uncertain strategies, and consider both single and multiple types of...

Persistent link: https://www.econbiz.de/10014303713

Real-time stochastic flexible flow shop scheduling in a credit factory with model-based reinforcement learning

Chen, Liao; Liu, Hongjia; Jia, Ning; Ren, Nianlu; Cui, … - In: International journal of production research 63 (2025) 3, pp. 845-864

Persistent link: https://www.econbiz.de/10015198394

Portfolio optimization of credit risky bonds: A semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial Innovation 6 (2020) 1, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky … obtained using credit ratings assuming that credit ratings of bonds follow a semi-Markov process. Modeling credit ratings by … credit rating dynamics. The transition probability matrices generated by semi-Markov process and initial credit ratings are …

Persistent link: https://www.econbiz.de/10012602859

Portfolio optimization of credit risky bonds : a semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial innovation : FIN 6 (2020) 25, pp. 1-14

Persistent link: https://www.econbiz.de/10012268914

Optimizing preventive maintenance over a finite planning horizon in a semi-Markov framework

Sánchez Herguedas, Antonio; Crespo Márquez, Adolfo; … - In: IMA journal of management mathematics 33 (2022) 1, pp. 75-99

Persistent link: https://www.econbiz.de/10012654788

Availability analysis of mechanical systems with condition-based maintenance using semi-Markov and evaluation of optimal condition monitoring interval

Kumar, Girish; Jain, Vipul; Gandhi, O. P. - In: Journal of Industrial Engineering International 14 (2018) 1, pp. 119-131

assist in decision-making for optimal utilization of maintenance resources. This paper deals with semi-Markov process (SMP …

Persistent link: https://www.econbiz.de/10011995826

Availability analysis of mechanical systems with condition-based maintenance using semi-Markov and evaluation of optimal condition monitoring interval

Kumar, Girish; Jain, Vipul; Gandhi, O. P. - In: Journal of industrial engineering international 14 (2018) 1, pp. 119-131

assist in decision-making for optimal utilization of maintenance resources. This paper deals with semi-Markov process (SMP …

Persistent link: https://www.econbiz.de/10011840748

A fractional multi-states model for insurance

Hainaut, Donatien - In: Insurance / Mathematics & economics 98 (2021), pp. 120-132

Persistent link: https://www.econbiz.de/10012545276

Employment Risk over the Life Cycle

Fugazza, Carolina - Collegio Carlo Alberto, Università degli Studi di Torino - 2012

In this paper we focus on the relative role of job finding and job exit in shaping the employment risk over the life cycle. Using Italian labor market data we document that the risk of being fired and the chance of reemployment display substantial heterogeneity depending on age, cohort and...

Persistent link: https://www.econbiz.de/10010862065