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~subject:"Markov-Kette"
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Markov-Kette
Theorie
215
Theory
195
continuous time
114
Stochastischer Prozess
102
Stochastic process
93
Continuous time
86
Game theory
66
Markov chain
66
Spieltheorie
63
Zeitreihenanalyse
54
Time series analysis
50
Optionspreistheorie
41
Option pricing theory
38
Portfolio selection
37
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36
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34
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33
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33
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33
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31
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29
stochastic volatility
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24
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20
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19
Continuous-time
18
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18
Moral hazard
18
Control theory
17
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17
Moral Hazard
17
Continuous Time
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continuous-time
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English
65
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Cui, Zhenyu
5
Zhang, Yi
4
Elliott, Robert J.
2
Gapeev, Pavel V.
2
Guo, Xianping
2
Guo, Xin
2
Kirkby, J. Lars
2
Levy, Yehuda John
2
Lux, Thomas
2
Magnus, Jan R.
2
Montero, José-María
2
Pijls, Henk G. J.
2
Prieto-Rumeau, Tomás
2
Sentana, Enrique
2
Song, Yingda
2
Wei, Qingda
2
Zhou, Zhou
2
Ahmed, Imtiaz
1
Averboukh, Yurii
1
Azeem, Abdullahil
1
Banik, A. D.
1
Bazizi, Lydia
1
Ben Abdellah, Amal
1
Bernis, Guillaume
1
Biessy, Guillaume
1
Brockhaus, Oliver
1
Buchholz, Peter
1
Cai, Ning
1
Capan, Muge
1
Carassus, Laurence
1
Chaudhry, M. L.
1
Chen, Pengzhan
1
Chen, Xian
1
Clempner, Julio B.
1
Costa, Oswaldo Luiz do Valle
1
Creemers, S.
1
Creemers, Stefan
1
Cui, Lirong
1
Deshmukh, Shailaja
1
Ding, Kailin
1
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Christian-Albrechts-Universität zu Kiel
1
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European journal of operational research : EJOR
5
Dynamic games and applications : DGA
4
Mathematics of operations research
4
Operations research letters
4
4OR : a quarterly journal of operations research
3
International journal of theoretical and applied finance
3
Mathematical methods of operations research : ZOR
3
Applied mathematical finance
2
Quantitative finance
2
RAIRO / Operations research
2
Astin bulletin : the journal of the International Actuarial Association
1
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1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Computers & operations research : and their applications to problems of world concern ; an international journal
1
Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS
1
Decision sciences : DS
1
Discussion paper series
1
Discussion paper series / IZA
1
Econometric reviews
1
European journal of industrial engineering : EJIE
1
Games and economic behavior
1
INFORMS journal on computing : JOC
1
International journal of finance & economics : IJFE
1
International journal of logistics systems and management
1
International journal of production research
1
Journal of economic dynamics & control
1
Journal of economic studies
1
Journal of financial econometrics
1
Journal of forecasting
1
Journal of the Operational Research Society
1
KBI
1
Kiel working paper
1
Les cahiers du GERAD
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Omega : the international journal of management science
1
Operations research
1
Quantitative economics : QE ; journal of the Econometric Society
1
Stanford University Graduate School of Business research paper
1
The journal of computational finance
1
The journal of futures markets
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ECONIS (ZBW)
65
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21
Strong and weak equilibria for time-inconsistent stochastic control in
continuous
time
Huang, Yu-Jui
;
Zhou, Zhou
- In:
Mathematics of operations research
46
(
2021
)
2
,
pp. 428-451
Persistent link: https://www.econbiz.de/10012582175
Saved in:
22
A joint likelihood approach to the analysis of length of stay data utilising the
continuous-time
hidden Markov model and Coxian phase-type distribution
Mitchell, Hannah J.
;
Marshall, Adele H.
;
Zenga, Mariangela
- In:
Journal of the Operational Research Society
72
(
2021
)
11
,
pp. 2529-2541
Persistent link: https://www.econbiz.de/10012697340
Saved in:
23
Testing for the diffusion matrix in a
continuous-time
markov process model with applications to the term structure of interest rates
Li, Fuchun
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 789-822
Persistent link: https://www.econbiz.de/10012799048
Saved in:
24
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
25
A useful technique for piecewise deterministic Markov decision processes
Guo, Xin
;
Zhang, Yi
- In:
Operations research letters
49
(
2021
)
1
,
pp. 55-61
Persistent link: https://www.econbiz.de/10012486021
Saved in:
26
Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes
Costa, Oswaldo Luiz do Valle
;
Dufour, François
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 327-357
Persistent link: https://www.econbiz.de/10012548532
Saved in:
27
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
28
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:
29
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:
30
Penalizing passenger's transfer time in computing airlines revenue
Clempner, Julio B.
- In:
Omega : the international journal of management science
97
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012289094
Saved in:
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