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Showing 1 to 3 of 3 for “"Markovian switching"”.
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Adaptive mesh construction for the numerical solution of stochastic differential equations with Markovian switching
… nonlinear stochastic differential equations with Markovian switching. Such equations describe the stochastic dynamics of processes where the drift and diffusion coefficients are subject to random state changes according to a Markov chain with finite state space. We propose a variant of the Jump …
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Sequential Modelling and Inference of High-frequency Limit Order Book with State-space Models and Monte Carlo Algorithms
… of price diffusion processes as well as the non-Markovian switching behaviour between regimes. As such, a novel model is proposed which combines the continuous-time state-space model, the hidden semi-Markov switching model and the non-parametric Dirichlet process model. Additionally, building …
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Nonlinear network vector autoregression
… autoregressive (TNQAR) model and the Markov Switching Network autoregressive (MS-NAR) model. For the TNAR model, we provide the parameter conditions for the stationary of the time series. Under this parameter condition, the TNAR process can be approximated by the geometrically ergodic …