A semi-martingale representation for a semi-Markov chain with applications to finance
Date
2017
Authors
Elliott, R.
Swishchuk, A.
Zhang, I.Y.
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Theory of Probability and Mathematical Statistics, 2017; 96:49-60
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Abstract
In this paper we present the semi-martingale representation for a discrete time semi Markov chain, and consider its application to a semi-Markov regime-switching binomial model infinance. We also introduce a semi-Markov switching Lévy process. Estimation results for a Markov and semi-Markov chains are presented as well.
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Copyright 2017 the authors