A MARKOV-MODULATED GROWTH COLLAPSE MODEL

A Markov modulated growth collapse model

We consider a growth collapse model in a random environment where the input rates may depend on the state of an underlying irreducible Markov chain and at state change epochs there is a possible downward jump to a level which is a random fraction of the level just before the jump. The distributions of these jumps are allowed to depend on both the originating and target states. Under a very weak...

A Markov modulated Poisson model for software reliability

In this paper we consider a latent Markov process governing the intensity rate of software failures. The latent process represents the behavior of the debugging operations over time and enables us to deal with the imperfect debugging scenario. We develop the Bayesian inference for the model and also introduce a method to infer the unknown dimension of the Markov process. We illustrate the imple...

Growth Optimal Portfolio for unobservable Markov-modulated markets

The paper studies the benchmark approach for pricing and hedging in incomplete markets where the investor has to filter the incomplete information. We consider a jump diffusion Markov modulated market model and derive the growth optimal portfolio (GOP), by using the stochastic control method. Using GOP, we price and hedge European options where the existence of the equivalent martingale measure...

Markov Modulated Linear Fluid

Markov Modulated Linear Fluid