Small-time ruin for a financial process modulated by a Harris recurrent Markov chain.

Jeffrey F. Collamore Andrea Höing

Published in: Finance Stochastics (2007)

Keyphrases

markov chain
transition probabilities
steady state
monte carlo
random walk
state space
stochastic process
markov process
monte carlo simulation
finite state
monte carlo method
markov model
directed graph
stationary distribution
graphical models
transition matrix