Optimal Switching under a Regime-Switching Model with Two-Time-Scale Markov Chains.

Ran Tao Zhen Wu Qing Zhang

Published in: Multiscale Model. Simul. (2015)

Keyphrases

markov chain
markov model
transition probabilities
markov process
probabilistic model
monte carlo simulation
transition matrix
machine learning
dynamic programming
higher order
parameter estimation
monte carlo
steady state
stochastic process
monte carlo method