Displaying similar documents to “Markovian Black and Scholes.”

Large deviations and full Edgeworth expansions for finite Markov chains with applications to the analysis of genomic sequences

Pierre Pudlo (2010)

ESAIM: Probability and Statistics

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To establish lists of words with unexpected frequencies in long sequences, for instance in a molecular biology context, one needs to quantify the exceptionality of families of word frequencies in random sequences. To this aim, we study large deviation probabilities of multidimensional word counts for Markov and hidden Markov models. More specifically, we compute local Edgeworth expansions of arbitrary degrees for multivariate partial sums of lattice valued functionals of finite...

Central limit theorem for hitting times of functionals of Markov jump processes

Christian Paroissin, Bernard Ycart (2004)

ESAIM: Probability and Statistics

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A sample of i.i.d. continuous time Markov chains being defined, the sum over each component of a real function of the state is considered. For this functional, a central limit theorem for the first hitting time of a prescribed level is proved. The result extends the classical central limit theorem for order statistics. Various reliability models are presented as examples of applications.

Markov bases of conditional independence models for permutations

Villő Csiszár (2009)

Kybernetika

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The L-decomposable and the bi-decomposable models are two families of distributions on the set S n of all permutations of the first n positive integers. Both of these models are characterized by collections of conditional independence relations. We first compute a Markov basis for the L-decomposable model, then give partial results about the Markov basis of the bi-decomposable model. Using these Markov bases, we show that not all bi-decomposable distributions can be approximated arbitrarily...