Estimation of life expectancies using continuous-time multi-state models

Sub-optimal Estimation of HIV Time-delay Model using State-Dependent Impulsive Observer with Time-varying Impulse Interval: Application to Continuous-time and Impulsive Inputs

Human Immunodeficiency Virus (HIV) weakens the immune system in confronting various diseases by attacking to CD4+T cells. In modeling HIV behavior, the number of CD4+T cells is considered as the output. But, continuous-time measurement of these cells is not possible in practice, and the measurement is only available at variable intervals that are several times bigger than sampling time. In this...

Estimation of Continuous–Time Financial Models Using High–Frequency Data

Bayesian Estimation of Continuous-Time Finance Models

A new Bayesian method is proposed for the analysis of discretely sampled diffusion processes. The method, which is termed high frequency augmentation (HFA), is a simple numerical method that is applicable to a wide variety of univariate or multivariate diffusion and jump-diffusion processes. It is furthermore useful when observations are irregularly observed, when one or more elements of the mu...

A New Continuous Multi-State Reliability Model with Time Dependent Component Performance Rate

A CSS1†is a system with the continues-state components. When a component has the ability to obtain all the situations from completely working to completely failed, it named continues-state component. In the real world, performance rate of elements are continuous and decrease by time. Continuity of components causes infinite working states and grows up the system states. In this paper we propose...

Discrete-Time Continuous-State Interest Rate Models

We show how to implement arbitrage-free models of the short-term interest rate in a discretetime setting that allows a continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-time models. It is usually associated with discrete states, with possible interest rates restricted to a limited number of ...