The Stochastic LQ Framework with Markov Modulation Parameters

2011 International Conference of Information Technology, Computer Engineering and Management Sciences ◽

10.1109/icm.2011.188 ◽

2011 ◽

Author(s):

Liai Cui ◽

Xuanhui Liu ◽

Youfeng Chen

Keyword(s):

Markov Modulation

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Parameter estimation for a discretely observed population process under Markov-modulation

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2019.06.008 ◽

2019 ◽

Vol 140 ◽

pp. 88-103 ◽

Cited By ~ 1

Author(s):

Mathisca de Gunst ◽

Bartek Knapik ◽

Michel Mandjes ◽

Birgit Sollie

Keyword(s):

Parameter Estimation ◽

Markov Modulation ◽

Population Process

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Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation

Methodology And Computing In Applied Probability ◽

10.1007/s11009-018-9644-1 ◽

2018 ◽

Vol 21 (1) ◽

pp. 125-153

Author(s):

O. J. Boxma ◽

E. J. Cahen ◽

D. Koops ◽

M. Mandjes

Keyword(s):

Rare Event ◽

Rare Event Simulation ◽

Markov Modulation ◽

Event Simulation ◽

Fluid Networks ◽

Stochastic Fluid

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NONLINEAR FINANCIAL MODELS: FINITE MARKOV MODULATION AND ITS LIMITS

Quantitative Analysis in Financial Markets ◽

10.1142/9789812778451_0007 ◽

2002 ◽

pp. 159-171

Author(s):

MOGENS BLADT ◽

PABLO PADILLA

Keyword(s):

Financial Models ◽

Markov Modulation

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Markov modulation of a two-sided reflected Brownian motion with application to fluid queues

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.02.001 ◽

2012 ◽

Vol 122 (4) ◽

pp. 1566-1581 ◽

Cited By ~ 10

Author(s):

Bernardo D’Auria ◽

Offer Kella

Keyword(s):

Brownian Motion ◽

Reflected Brownian Motion ◽

Markov Modulation ◽

Fluid Queues

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