Stochastic foraging arena interaction of modified Leslie-type with correlated Brownian motions under regime switching

Mapping Intimacies ◽

10.22541/au.159144666.64752165 ◽

2020 ◽

Author(s):

Yongmei Cai ◽

YUYUAN LI ◽

Xuerong Mao

Keyword(s):

Regime Switching ◽

Brownian Motions

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Existence of a Calibrated Regime Switching Local Volatility Model and New Fake Brownian Motions

SSRN Electronic Journal ◽

10.2139/ssrn.2902744 ◽

2017 ◽

Author(s):

Benjamin Jourdain ◽

Alexandre Zhou

Keyword(s):

Regime Switching ◽

Brownian Motions ◽

Local Volatility ◽

Local Volatility Model ◽

Volatility Model

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Ergodicity and First Passage Probability of Regime-Switching Geometric Brownian Motions

Chinese Annals of Mathematics Series B ◽

10.1007/s11401-018-0093-5 ◽

2018 ◽

Vol 39 (4) ◽

pp. 739-754

Author(s):

Jinghai Shao

Keyword(s):

Regime Switching ◽

First Passage ◽

Brownian Motions ◽

First Passage Probability ◽

Geometric Brownian Motions

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Regime switching in yield structures and forecasting securitised real estate returns

10.15396/eres2003_194 ◽

2003 ◽

Keyword(s):

Real Estate ◽

Regime Switching ◽

Real Estate Returns

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Research of market interest rates of the SHIBOR based on regime switching model

JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING ◽

10.3724/sp.j.1249.2015.03317 ◽

2015 ◽

Vol 32 (3) ◽

pp. 317 ◽

Author(s):

Xiangdong Liu ◽

Hui Guo

Keyword(s):

Interest Rates ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

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Constrained Stochastic Differential Equations Driven by Fractional Brownian Motions: Stationarity and Parameter Estimation Problems

10.21236/ada591767 ◽

2013 ◽

Author(s):

Chihoon Lee

Keyword(s):

Parameter Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Brownian Motions ◽

Fractional Brownian Motions ◽

Estimation Problems

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Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

10.21236/ada614716 ◽

2014 ◽

Author(s):

Tyrone E. Duncan ◽

Bozenna Pasik-Duncan

Keyword(s):

Optimal Control ◽

Stochastic Systems ◽

Brownian Motions ◽

Fractional Brownian Motions

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A combined regime-switching and Black–Litterman model for optimal asset allocation

The Journal of Investment Strategies ◽

10.21314/jois.2015.052 ◽

2015 ◽

Vol 4 (3) ◽

pp. 1-36

Author(s):

Edwin O. Fischer ◽

Michael Murg

Keyword(s):

Asset Allocation ◽

Regime Switching

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Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model

SSRN Electronic Journal ◽

10.2139/ssrn.1092042 ◽

2007 ◽

Author(s):

Leela R. Mitra ◽

Gautam Mitra ◽

Rogemar Mamon

Keyword(s):

Markov Model ◽

Regime Switching ◽

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A Regime Switching Long Memory Model for Electricity Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1147547 ◽

2006 ◽

Author(s):

Niels Haldrup ◽

Morten Ørregaard Nielsen

Keyword(s):

Long Memory ◽

Regime Switching ◽

Memory Model ◽

Electricity Prices

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Investment under Ambiguity and Regime-Switching Environment

SSRN Electronic Journal ◽

10.2139/ssrn.1424604 ◽

2009 ◽

Author(s):

Kwangmoon Kim ◽

Minsuk Kwak ◽

U. Jin Choi

Keyword(s):

Regime Switching

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