Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain

2008 ◽  
Author(s):  
Michael Taksar ◽  
Xudong Zeng
Keyword(s):  
Markov Chain ◽  
Discrete Time ◽  
Partial Information ◽  
Discrete Time Markov Chain ◽  
Terminal Wealth

Lumpability for non-irreducible finite markov chains

1984 ◽  
Vol 21 (03) ◽  
pp. 567-574 ◽  
Author(s):  
Atef M. Abdel-Moneim ◽  
Frederick W. Leysieffer
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Discrete Time ◽  
The State ◽  
Discrete Time Markov Chain ◽  
Finite Markov Chains

Conditions under which a function of a finite, discrete-time Markov chain, X(t), is again Markov are given, when X(t) is not irreducible. These conditions are given in terms of an interrelationship between two partitions of the state space of X(t), the partition induced by the minimal essential classes of X(t) and the partition with respect to which lumping is to be considered.

Time reversal and age distributions, I. Discrete-time Markov chains

1980 ◽  
Vol 17 (1) ◽  
pp. 33-46 ◽  
Author(s):  
S. Tavaré
Keyword(s):  
Population Genetics ◽  
Markov Chain ◽  
Markov Chains ◽  
Discrete Time ◽  
Time Reversal ◽  
Age Distribution ◽  
Applied Probability ◽  
Discrete Time Markov Chain

The connection between the age distribution of a discrete-time Markov chain and a certain time-reversed Markov chain is exhibited. A method for finding properties of age distributions follows simply from this approach. The results, which have application in several areas in applied probability, are illustrated by examples from population genetics.

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