This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The valuefunction of an American option ...

Bunches of individual customers approach a single servicing facility according to a stationary compound Poisson process. The resulting waiting line process is studied in continuous time by the method ...

We present a methodology for estimating up-jump and down-jump intensities in a continuous-time portfolio credit rating migration model. These intensities are interpreted as systematic factors and can ...

Forbes contributors publish independent expert analyses and insights. Dr. Lance B. Eliot is a world-renowned AI scientist and consultant. In today’s column, I closely examine an innovative way of ...

What if you could predict the future, not with a crystal ball, but with math? In this guide, Veritasium explains how a 120-year-old concept called Markov chains has become a silent force shaping ...