Lie algebra solution of Lie-Markov model: Application of freshness K-value-Reference-Cited by-同舟云学术

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Lie algebra solution of Lie-Markov model: Application of freshness K-value

Published:2016-11 Issue:6 Volume:19 Page:781-792
ISSN:0972-0510
Container-title:Journal of Statistics and Management Systems
language:en
Short-container-title:Journal of Statistics and Management Systems

Author:

Tseng Shih-Hsien¹,Chen Hsiao-Yin²,Wang Ruei-Ci³

Affiliation:

1. 200 Chung Pei Road, Chung Li District., Taoyuan City, Taiwan 32023, R.O.C. Chung Yuan Christian University, Department of Business Administration

2. No.1 Kainan Rd, Shinshing Tsuen, Luchu Shiang, Taoyuan, Taiwan, R.O.C. Kainan University, Department of Business and Entrepreneurial Management

3. Gottåkrav. 28, 236 41 Höllviken, Sweden, Minastir Asset Management AB, Quantitative Developer

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/09720510.2016.1224470

Reference13 articles.

1. Markov Chains and Stochastic Stability

2. Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

3. Optimal Bayesian Design by Inhomogeneous Markov Chain Simulation

4. Merging for time inhomogeneous finite Markov chains, Part I: Singular values and stability

5. $L^2$ Convergence of Time Nonhomogeneous Markov Processes: I. Spectral Estimates

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