The paper attempts to provide forecast methodological framework and concrete models to estimate long run probability of default term structure for Hungarian corporate debt instruments, in line with IFRS 9 requirements. Long run probability of default and expected loss can be estimated by various methods and has fifty-five years of history in literature. After studying literature and empirical m...

We propose a family of new evaluation measures, called Markov Precision (MP), which exploits continuous-time and discrete-time Markov chains and we conduct a thorough experimental evaluation providing also an example of calibration of its time parameters.

This paper presents a novel approach to computergenerated Palestrina-style counterpoint using probabilistic Markov Chains. It is shown how Markov Chains adequately capture the rules of species counterpoint and how they can be used to synthesize species counterpoint given a cantus firmus. It is also shown how such rules can be inferred from given counterpoint examples.

In this paper, our objective is to convert the model of a water distribution network described via Stochastic differential equations (SDE) into Markov decision process (MDP). The motivation behind work that while MDP's represents underlying dynamics for dynamic programming and reinforcement learning, actual best equations, therefore, we would like SDE MDP. We have applied Kushner's chain approx...

We show that large-scale typicality of Markov sample paths implies that the likelihood ratio statistic satisfies a law of iterated logarithm uniformly to the same scale. As a consequence, the penalized likelihood Markov order estimator is strongly consistent for penalties growing as slowly as log log n when an upper bound is imposed on the order which may grow as rapidly as log n. Our method of...

Cash flow, Markov chains, contractor payment, owner classification

We examine project selection decisions of firms constrained in the number of projects they can handle at once. A new project opportunity arises every period. Taking on a project requires a commitment of uncertain duration, preventing the firm from selecting another project in subsequent periods until the commitment ends. In our dynamic game, when two firms are free of commitment, they move sequ...

This paper builds upon several recent works, where semigroup proofs of Brascamp-Lieb inequalities are provided in various settings (Euclidean space, spheres and symmetric groups). Our aim is twofold. Firstly, we provide a general, unifying, framework based on Markov generators, in order to cover a variety of examples of interest going beyond previous investigations. Secondly, we put forward the...