A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes

Article Abstract:

A conditioning argument on the age of the review point process is used to develop a method for obtaining the transient and the limiting distributions of the process of interest. Several cases on various birth-and-death processes with catastrophes resulting from a Poisson process to the more general case of continuous-time Markov chains with catastrophes resulting from a point process are presented.

Catastrophes (Mathematics), Point processes

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On the control of a compound immigration process through total catastrophes

Article Abstract:

Markov decision process is used to find out total catastrophes control on compound immigration process. This analysis is also used to prove average cost optimal policy as threshold type.

Greece, International Affairs, Management dynamics, Immigration & Emigration, Management, Usage, Influence, Company business management, Emigration and immigration, Markov processes, Disasters

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Testing robustness in calibration of stochastic volatility models

Article Abstract:

An analysis of the calibration of stochastic volatility models with respect to financial markets is presented.

Italy, Financial markets, Volatility

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