This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The valuefunction of an American option ...

Semi-Markov processes extend traditional Markov models by explicitly accounting for the time spent in each state before transitioning. This added temporal dimension is particularly valuable in credit ...

Until recently, Markov models and analytical methods were fairly obscure mathematical techniques rarely applied outside of academic settings. The advent of functional safety standards, particularly ...

In this paper, a Markov-switching linked autoregressive model is proposed to describe and forecast non-continuous wind direction data. Due to the influence factors of geography and atmosphere, the ...