Continuous Time Markov Chain Model of Asset Prices Distribution.
Eimutis ValakeviciusPublished in: ICCS (2) (2009)
Keyphrases
- markov chain
- transition probabilities
- markov process
- markov model
- stationary distribution
- markov processes
- steady state
- monte carlo simulation
- stochastic process
- transition matrix
- probabilistic model
- statistical model
- mathematical model
- finite state
- markov models
- monte carlo
- monte carlo method
- bayesian inference
- maximum entropy
- bayesian framework
- closed form
- gibbs sampling
- state space
- probability distribution