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A first course in stochastic processes
Samuel Karlin,Howard M. Taylor +1 more
TLDR
In this paper, the Basic Limit Theorem of Markov Chains and its applications are discussed and examples of continuous time Markov chains are presented. But they do not cover the application of continuous-time Markov chain in matrix analysis.Abstract:
Preface. Elements of Stochastic Processes. Markov Chains. The Basic Limit Theorem of Markov Chains and Applications. Classical Examples of Continuous Time Markov Chains. Renewal Processes. Martingales. Brownian Motion. Branching Processes. Stationary Processes. Review of Matrix Analysis. Index.read more
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
TL;DR: In this paper, a closed-form solution for the price of a European call option on an asset with stochastic volatility is derived based on characteristi c functions and can be applied to other problems.
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Estimating long-run relationships from dynamic heterogeneous panels☆
M. Hashem Pesaran,Ron Smith +1 more
TL;DR: In panel data four procedures are widely used: pooling, aggregating, averaging group estimates, and cross-section regression as discussed by the authors, and the theoretical results on the properties of these procedures are illustrated by UK labour demand functions for 38 industries over 30 years.
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Reaching a Consensus
TL;DR: In this article, the authors consider a group of individuals who must act together as a team or committee, and assume that each individual in the group has his own subjective probability distribution for the unknown value of some parameter.
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Advertising as Information
TL;DR: In this paper, the major features of the behavior of advertising can be explained by advertising's information function, and it is shown that the most important information conveyed by advertising is simply that the brand advertises.