Stochastic Processes with Age-Dependent Transition Rates

DOI10.1080/07362994.2011.564455zbMath1223.60062OpenAlexW2008329270MaRDI QIDQ3005163

Subhamay Saha, Mrinal K. Ghosh

Publication date: 7 June 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.564455

zbMATH Keywords

semi-Markov processestransition probabilitiesFeller propertyage-dependent transition ratestransition rate function

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (5)

Inference of binary regime models with jump discontinuities ⋮ Semimartingale representation of a class of semi-Markov dynamics ⋮ Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes ⋮ Pricing derivatives in a regime switching market with time inhomogenous volatility ⋮ A system of non-local parabolic PDE and application to option pricing

Cites Work

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• The theory of stochastic processes. II: Translated from the Russian by S. Kotz
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

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