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~subject:"Continuous-time Markov chain"
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Continuous-time Markov chain
Theorie
149
Theory
149
Stochastic process
75
Stochastischer Prozess
75
Continuous time
66
Markov chain
56
Markov-Kette
55
Game theory
48
Spieltheorie
47
continuous time
40
Time series analysis
35
Zeitreihenanalyse
35
Portfolio selection
34
Option pricing theory
33
Optionspreistheorie
32
Volatility
31
Portfolio-Management
30
Mathematical programming
29
Mathematische Optimierung
29
Volatilität
29
CAPM
21
Estimation theory
21
Schätztheorie
21
Experiment
18
Forecasting model
15
Prognoseverfahren
15
Agency theory
14
Prinzipal-Agent-Theorie
14
Probability theory
13
Wahrscheinlichkeitsrechnung
13
Dynamic programming
12
Scheduling problem
12
Scheduling-Verfahren
12
Stochastic game
12
Yield curve
12
Zinsstruktur
12
Continuous-time
11
Continuous-time model
11
Control theory
11
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Undetermined
13
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Book / Working Paper
1
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Article in journal
10
Aufsatz in Zeitschrift
10
Language
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English
10
Undetermined
3
Author
All
Cui, Zhenyu
4
Piunovskiy, Alexey
2
Zhang, Yi
2
Barros, Anne
1
Bretó, Carles
1
Creemers, Stefan
1
Ding, Kailin
1
Eksi-Altay, Zehra
1
Fouladirad, Mitra
1
Kang, Kai
1
Kirkby, J. Lars
1
Lee, Chihoon
1
Liu, Yanchu
1
MacKay, Anne
1
Magnus, Jan R.
1
Nguyen, Duy
1
Niaki, Seyed Taghi Akhavan
1
Pijls, Henk G. J.
1
Qin, Wei
1
Selcuk-Kestel, A. Sevtap
1
Sentana, Enrique
1
Tan, Bing Qing
1
Vachon, Marie-Claude
1
Wang, Yongjin
1
Xu, Gangyan
1
Xu, Su Xiu
1
Yaghoubi, Afshin
1
Yerli, Cigdem
1
Zhang, Nan
1
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European journal of operational research : EJOR
4
Quantitative finance
2
Computational Statistics
1
Finance research letters
1
International journal of production economics
1
International journal of quality & reliability management
1
Journal of economic dynamics & control
1
Mathematical Methods of Operations Research
1
Statistics & Probability Letters
1
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ECONIS (ZBW)
10
RePEc
3
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1
On the information content of implied liquidity measure : Evidence from the S&P 500 index options
Yerli, Cigdem
;
Eksi-Altay, Zehra
;
Selcuk-Kestel, A. Sevtap
- In:
Finance research letters
57
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014507814
Saved in:
2
Reliability analysis of a two-unit standby system under Marshall-Olkin dependency
Yaghoubi, Afshin
;
Niaki, Seyed Taghi Akhavan
- In:
International journal of quality & reliability management
40
(
2023
)
6
,
pp. 1587-1596
Persistent link: https://www.econbiz.de/10014313839
Saved in:
3
Analysis of VIX-linked fee incentives in variable annuities via
continuous-time
Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
4
A reverse Vickrey auction for physical internet (PI) enabled parking management systems
Tan, Bing Qing
;
Xu, Su Xiu
;
Kang, Kai
;
Xu, Gangyan
;
Qin, Wei
- In:
International journal of production economics
235
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012519364
Saved in:
5
The Jacobian of the exponential function
Magnus, Jan R.
;
Pijls, Henk G. J.
;
Sentana, Enrique
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012668907
Saved in:
6
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
7
The preemptive stochastic resource-constrained project scheduling problem
Creemers, Stefan
- In:
European journal of operational research : EJOR
277
(
2019
)
1
,
pp. 238-247
Persistent link: https://www.econbiz.de/10012015024
Saved in:
8
Reliability-based measures and prognostic analysis of a K-out-of-N system in a random environment
Zhang, Nan
;
Fouladirad, Mitra
;
Barros, Anne
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1120-1131
Persistent link: https://www.econbiz.de/10011942840
Saved in:
9
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
10
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Cui, Zhenyu
;
Lee, Chihoon
;
Liu, Yanchu
- In:
European journal of operational research : EJOR
266
(
2018
)
3
,
pp. 1134-1139
Persistent link: https://www.econbiz.de/10011812242
Saved in:
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