Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
From MaRDI portal
Publication:4999834
zbMath1470.60214arXiv1801.05553MaRDI QIDQ4999834
Igor Cialenco, Yicong Huang, Ruoting Gong, Tomasz R. Bielecki
Publication date: 2 July 2021
Full work available at URL: https://arxiv.org/abs/1801.05553
Wiener-Hopf factorizationadditive functionalfluctuation theoryinhomogeneous Markov chainrandomization method
Continuous-time Markov processes on discrete state spaces (60J27) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Continuous-time Markov chains and applications. A two-time-scale approach
- Hitting time in Erlang loss systems with moving boundaries
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
- Optimal dividend distribution under Markov regime switching
- First-passage times of regime switching models
- A Unified Framework for Numerically Inverting Laplace Transforms
- Probabilistic factorization of a quadratic matrix polynomial
- Option Pricing With Markov-Modulated Dynamics
- Stochastic theory of a fluid model of producers and consumers coupled by a buffer
- Some aspects of Wiener-Hopf factorization
- Computing the invariant law of a fluid model
- Stationary distributions for fluid flow models with or without brownian noise
- Exotic Derivatives under Stochastic Volatility Models with Jumps
This page was built for publication: Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
