Semimartingale representation of a class of semi-Markov dynamics
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Publication:6204790
DOI10.1007/s10959-023-01259-4arXiv2207.06132OpenAlexW4372358147MaRDI QIDQ6204790
Subhamay Saha, Anindya Goswami, Ravishankar Kapildev Yadav
Publication date: 2 April 2024
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2207.06132
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
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