scholarly journals A CONTINUOUS-TIME MARKOV CHAIN APPROACH TO FINANCIAL MODELLING: ANALYSIS AND APPLICATIONS

2016 ◽  
Vol 109 (4) ◽  
Author(s):  
M. Turra
Keyword(s):  
Markov Chain ◽  
Continuous Time ◽  
Continuous Time Markov Chain ◽  
Financial Modelling ◽  
Markov Chain Approach ◽  
Modelling Analysis

A continuous-time Markov chain approach with the analytic likelihood in studies of behavioral changes

2018 ◽  
Vol 48 (23) ◽  
pp. 5756-5765
Author(s):  
Ho-Lan Peng ◽  
Andrew Aschenbrenner ◽  
Kirk von Sternberg ◽  
Patricia D. Mullen ◽  
Wenyaw Chan
Keyword(s):  
Markov Chain ◽  
Continuous Time ◽  
Behavioral Changes ◽  
Continuous Time Markov Chain ◽  
Markov Chain Approach

Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach

2008 ◽  
Vol 38 (01) ◽  
pp. 231-257 ◽  
Author(s):  
Holger Kraft ◽  
Mogens Steffensen
Keyword(s):  
Continuous Time ◽  
Optimal Solution ◽  
Decision Problems ◽  
Optimal Consumption ◽  
Continuous Time Markov Chain ◽  
Financial Decision Making ◽  
Markov Chain Approach ◽  
Special Cases ◽  
Financial Decision ◽  
The Individual

Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are in this article modelled in a continuous-time multi-state Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes optimal positions against the risk of dying; in another model the individual takes optimal positions against the risk of losing income as a consequence of disability or unemployment.

scholarly journals Adaptive Duty Cycling in Sensor Networks With Energy Harvesting Using Continuous-Time Markov Chain and Fluid Models

2015 ◽  
Vol 33 (12) ◽  
pp. 2687-2700 ◽  
Author(s):  
Wai Hong Ronald Chan ◽  
Pengfei Zhang ◽  
Ido Nevat ◽  
Sai Ganesh Nagarajan ◽  
Alvin C. Valera ◽  
...  
Keyword(s):  
Markov Chain ◽  
Sensor Networks ◽  
Energy Harvesting ◽  
Continuous Time ◽  
Fluid Models ◽  
Continuous Time Markov Chain ◽  
Duty Cycling
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