This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...

The Euler - Maruyama and Milstein methods are applied to approximate the solution of linearly Langevin equation with multiplicative noise. The exact solution is obtained by applying the Ito's lemma. It is worth mentioning that not always the discretization used to find the solutions of SDEs...

Discrete-time stochastic games with a finite number of states have been widely applied to study the strategic interactions among forward-looking players in dynamic environments. These games suffer from a “curse of dimensionality” when the cost of computing players’ expectations over all...

Purpose The purpose of this study is to select the most accurate and the most efficient method in estimating Weibull parameters at Agadir region in Morocco. Design/methodology/approach In this paper, Weibull distribution is used to model the wind speed in hourly time series format. Since several...