On characterization of reversible Markov processes by monotonicity of the fluctuation spectral density

2006 ◽  
Vol 47 (10) ◽  
pp. 103301 ◽  
Author(s):  
Yong Chen ◽  
Min-Ping Qian ◽  
Jian-Sheng Xie
Keyword(s):  
Spectral Density ◽  
Markov Processes ◽  
Reversible Markov Processes

Cumulative constrained sojourn times in semi-Markov processes with an application to pensionable service

1978 ◽  
Vol 15 (3) ◽  
pp. 531-542 ◽  
Author(s):  
Izzet Sahin
Keyword(s):  
Markov Processes ◽  
Sojourn Time ◽  
Working Life ◽  
Partial Coverage ◽  
Sojourn Times ◽  
Semi Markov Processes

This paper is concerned with the characterization of the cumulative pensionable service over an individual's working life that is made up of random lengths of service in different employments in a given industry, under partial coverage, transferability, and a uniform vesting rule. This characterization uses some results that are developed in the paper involving a functional and cumulative constrained sojourn times (constrained in the sense that if a sojourn time is less than a given constant it is not counted) in semi-Markov processes.

scholarly journals Stochastic Monotonicity and Duality ofkth Order with Application to Put-Call Symmetry of Powered Options

2015 ◽  
Vol 52 (1) ◽  
pp. 82-101 ◽  
Author(s):  
Vassili N. Kolokoltsov
Keyword(s):  
Option Pricing ◽  
Markov Processes ◽  
Ruin Probability ◽  
Analytic Approach ◽  
Stochastic Monotonicity ◽  
Full Characterization

We introduce a notion ofkth order stochastic monotonicity and duality that allows us to unify the notion used in insurance mathematics (sometimes refereed to as Siegmund's duality) for the study of ruin probability and the duality responsible for the so-called put-call symmetries in option pricing. Our generalkth order duality can be interpreted financially as put-call symmetry for powered options. The main objective of this paper is to develop an effective analytic approach to the analysis of duality that will lead to the full characterization ofkth order duality of Markov processes in terms of their generators, which is new even for the well-studied case of put-call symmetries.

scholarly journals Limit Theorems for Reversible Markov Processes

1973 ◽  
Vol 1 (6) ◽  
pp. 1014-1025
Author(s):  
Michael L. Levitan ◽  
Lawrence H. Smolowitz
Keyword(s):  
Markov Processes ◽  
Limit Theorems ◽  
Reversible Markov Processes

Cumulative constrained sojourn times in semi-Markov processes with an application to pensionable service

1978 ◽  
Vol 15 (03) ◽  
pp. 531-542
Author(s):  
Izzet Sahin
Keyword(s):  
Markov Processes ◽  
Sojourn Time ◽  
Working Life ◽  
Partial Coverage ◽  
Sojourn Times ◽  
Semi Markov Processes

This paper is concerned with the characterization of the cumulative pensionable service over an individual's working life that is made up of random lengths of service in different employments in a given industry, under partial coverage, transferability, and a uniform vesting rule. This characterization uses some results that are developed in the paper involving a functional and cumulative constrained sojourn times (constrained in the sense that if a sojourn time is less than a given constant it is not counted) in semi-Markov processes.

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