Mean-variance type controls involving a hidden Markov chain: models and numerical approximation.
Zhixin YangGang George YinQing ZhangPublished in: IMA J. Math. Control. Inf. (2015)
Keyphrases
- markov chain
- monte carlo simulation
- transition probabilities
- steady state
- transition matrix
- stochastic process
- markov model
- markov process
- finite state
- monte carlo
- random walk
- probabilistic model
- stationary distribution
- gibbs sampler
- least squares
- monte carlo method
- state space
- bayesian framework
- model checking
- markov models
- complex systems
- markov chain monte carlo