Bivariate Markov processes of intervals
نویسندگان
چکیده
منابع مشابه
Financial Applications of Bivariate Markov Processes
This paper describes a methodology to approximate a bivariate Markov process by means of a proper Markov chain and presents possible financial applications in portfolio theory, option pricing and risk management. In particular, we first show how to model the joint distribution between market stochastic bounds and future wealth and propose an application to large-scale portfolio problems. Second...
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ژورنال
عنوان ژورنال: Information and Control
سال: 1976
ISSN: 0019-9958
DOI: 10.1016/s0019-9958(76)90236-9