Search Results - subject:"markov processes"

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Economic convergence of income distribution worldwide from 1986 to 2000

Mora Rodriguez, Jhon James; Núñez Velázquez, José Javier - In: Journal of Economic Studies 36 (2009) 6, pp. 675-691

Purpose – The purpose of this paper is to discuss the role of Markovian transitions related to the economic convergence among countries. Thus, the paper aims to develop an overview of several classical approaches, including an analysis of fallacies exposed through the literature....

Persistent link: https://www.econbiz.de/10014863230

THE OPTIMAL INVENTORY CONTROL OF A SYSTEM WITH RANDOM LEAD TIME WHERE RANDOM SUPPLY INTERRUPTIONS AFFECT THE REPLENISHMENT

HOU, YUMEI; ZHANG, QIANG - In: Asia-Pacific Journal of Operational Research (APJOR) 26 (2009) 04, pp. 533-557

This paper analyzes a continuous-review inventory system with random supply interruptions and stochastic lead time. In such a system, a monopolistic supplier alternates between random ON and OFF periods. The variable (r,q)-policy is used. With a constant demand rate, the leadtime may be...

Persistent link: https://www.econbiz.de/10008490594

Branching Markov processes and related asymptotics

Hwang, S.Y.; Basawa, I.V. - In: Journal of Multivariate Analysis 100 (2009) 6, pp. 1155-1167

Models for Markov processes indexed by a branching process are presented. The new class of models is referred to as the …

Persistent link: https://www.econbiz.de/10005153177

Chaos from nonlinear Markov processes: Why the whole is different from the sum of its parts

Frank, T.D. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 19, pp. 4241-4247

Nonlinear Markov processes have been frequently used to address bifurcations and multistability in equilibrium and non …-equilibrium many-body systems. However, our understanding of the range of phenomena produced by nonlinear Markov processes is still in … its infancy. We demonstrate that in addition to bifurcations and multistability nonlinear Markov processes can exhibit …

Persistent link: https://www.econbiz.de/10010590942

Deterministic and stochastic components of nonlinear Markov models with an application to decision making during the bailout votes 2008 (USA)

Frank, T. D. - In: The European Physical Journal B - Condensed Matter and … 70 (2009) 2, pp. 249-255

Persistent link: https://www.econbiz.de/10009279957

Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities

Aït-Sahalia, Yacine - In: Annual Review of Financial Economics 1 (2009) 1, pp. 341-359

This article surveys recent developments to estimate and test continuous-time models in finance using discrete observations on the underlying asset price or derivative securities' prices. Both parametric and nonparametric methods are described. All these methods share a common focus on the...

Persistent link: https://www.econbiz.de/10008777008

Economic convergence of income distribution worldwide from 1986 to 2000

Rodriguez, Jhon James Mora; Velazquez, Jose Javier Nunez - In: Journal of Economic Studies 36 (2009) November, pp. 675-691

Persistent link: https://www.econbiz.de/10008471784

Copulas for finance

Bouye, Eric; Durlleman, Valdo; Nikeghbali, Ashkan; … - Volkswirtschaftliche Fakultät, … - 2000

Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.

Persistent link: https://www.econbiz.de/10011114301

Ergodic fluctuations in a stock market model with interacting agents: The mean field case

Horst, Ulrich - 1999

We consider a financial market model with interacting agents and study the long run behaviour of both aggregate behaviour and equilibrium prices. Investors are heterogeneous in their price expectations and they get stochastic signals about the mood of the market described by the empirical...

Persistent link: https://www.econbiz.de/10010310029

Ergodic fluctuations in a stock market model with interacting agents: The mean field case

Horst, Ulrich - Sonderforschungsbereich 373, Quantifikation und … - 1999

Persistent link: https://www.econbiz.de/10010956417