Markov-chain approximations for life-cycle models
نویسندگان
چکیده
منابع مشابه
Exponential Models: Approximations for Probabilities
Welch & Peers (1963) used a root-information prior to obtain posterior probabilities for a scalar parameter exponential model and showed that these Bayes probabilities had the confidence property to second order asymptotically. An important undercurrent of this indicates that the constant information reparameterization provides location model structure, for which the confidence property ...
متن کاملanalysis of ruin probability for insurance companies using markov chain
در این پایان نامه نشان داده ایم که چگونه می توان مدل ریسک بیمه ای اسپیرر اندرسون را به کمک زنجیره های مارکوف تعریف کرد. سپس به کمک روش های آنالیز ماتریسی احتمال برشکستگی ، میزان مازاد در هنگام برشکستگی و میزان کسری بودجه در زمان وقوع برشکستگی را محاسبه کرده ایم. هدف ما در این پایان نامه بسیار محاسباتی و کاربردی تر از روش های است که در گذشته برای محاسبه این احتمال ارائه شده است. در ابتدا ما نشا...
15 صفحه اولMarkov chain approximations for symmetric jump processes
Markov chain approximations of symmetric jump processes are investigated. Tightness results and a central limit theorem are established. Moreover, given the generator of a symmetric jump process with state space Rd the approximating Markov chains are constructed explicitly. As a byproduct we obtain a definition of the Sobolev space Hα/2(Rd), α ∈ (0, 2), that is equivalent to the standard one.
متن کاملCentral limit theorems and diffusion approximations for multiscale Markov chain models
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a combination of the two. Motivated by models with multiple time-scales arising in systems biology, we present a general approach to proving a central limit theorem c...
متن کاملLinking Microscopic and Macroscopic Models for Evolution: Markov Chain Network Training and Conservation Law Approximations
In this paper, a general framework for the analysis of a connection between the training of arti cial neural networks via the dynamics of Markov chains and the approximation of conservation law equations is proposed. This framework allows us to demonstrate an intrinsic link between microscopic and macroscopic models for evolution via the concept of perturbed generalized dynamic systems. The mai...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2019
ISSN: 1094-2025
DOI: 10.1016/j.red.2019.03.013