Inhomogeneous time change equations for Markov chains and their applications

DOI10.1080/07362994.2021.1924204zbMath1487.60140OpenAlexW3164244701MaRDI QIDQ5073876

Zofia Miśkiewicz

Publication date: 4 May 2022

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

Full work available at URL: https://doi.org/10.1080/07362994.2021.1924204

zbMATH Keywords

stochastic volatilitycontinuous-time Markov chainsregime-switching diffusionMarkov consistencychange of time

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
• Time change equations for Lévy-type processes
• Study of dependence for some stochastic processes: symbolic Markov copulae
• Hybrid switching diffusions. Properties and applications
• Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations
• On Skorokhod embeddings and Poisson equations
• MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS
• Change of Time and Change of Measure
• Study of Dependence for Some Stochastic Processes
• A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• Stochastic Differential Equations with Markovian Switching
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