Similar Search Results - EconBiz

Simulation-based dynamic origin-destination matrix estimation on freeways : a Bayesian optimization approach

Huo, Jinbiao; Liu, Chengqi; Chen, Jingxu; Meng, Qiang; … - In: Transportation research / E : an international journal 173 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014302197

Numerical methods in Markov chains and bulk queues

Bagchi, Tapan P.; Templeton, James G. C. - 1972

Persistent link: https://www.econbiz.de/10009584846

Option Pricing With Regime Switching Correlation : A Numerical PDE Approach

Christara, Christina; Leung, Nat - 2021

Modelling correlation between financial quantities is important in the accurate pricing of financial derivatives. In this paper, we introduce some stochasticity in correlation, by considering a regime-switching correlation model, in which the transition rates between regimes are given. We...

Persistent link: https://www.econbiz.de/10013250551

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009272496

Dynamic portfolio optimization with transaction costs and state-dependent drift

Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner - In: European journal of operational research : EJOR 243 (2015) 3, pp. 921-931

Persistent link: https://www.econbiz.de/10010513816

A note on the accuracy of Markov-chain approximations to highly persistent AR(1)-processes

Flodén, Martin (contributor) - 2007

This note examines the accuracy of methods that are commonly used to approximate AR(1)-processes with discrete Markov …

Persistent link: https://www.econbiz.de/10003426472

Queueing networks in equilibrium and Markov chains : numerical solution methods

Radev, Dimitar; Lokshina, Izabella; Denchev, Vladimir - In: World review of entrepreneurship, management and … 3 (2007) 3/4, pp. 302-316

Persistent link: https://www.econbiz.de/10003539177

Dynamic asset and liability management

Chaim, Ricardo Matos - In: Pension fund risk management : financial and actuarial …, (pp. 129-155). 2010

Persistent link: https://www.econbiz.de/10003938147

A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes

Flodén, Martin - In: Economics letters 99 (2008) 3, pp. 516-520

Persistent link: https://www.econbiz.de/10003726236

The jump start power method : a new approach for computing the ergodic projector of a finite Markov chain

Berkhout, Joost; Heidergott, Bernd - 2015

Persistent link: https://www.econbiz.de/10011539308

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