Zheng, Yawen; Zhu, Song-Ping A generalized integral equation formulation for pricing American options under regime-switching model. (English) Zbl 07900335 J. Comput. Appl. Math. 453, Article ID 116016, 14 p. (2025). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65R20 62M05 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Ming-hui; Yue, Jia; Huang, Nan-jing Optimal R&D investment problem with regime-switching. (English) Zbl 07916641 J. Optim. Theory Appl. 202, No. 2, 878-896 (2024). MSC: 91B06 91B38 93C30 × Cite Format Result Cite Review PDF Full Text: DOI
Yan, Ming; Hao, Xueyan; Zhang, Zhipeng; Zhang, Shuhua Equilibrium strategies in a defined benefit pension plan game with regime switching. (English) Zbl 07915159 J. Math. Anal. Appl. 540, No. 1, Article ID 128576, 30 p. (2024). MSC: 91Gxx 91Axx 91Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Song, Haiming; Xu, Jingbo; Yang, Jinda; Li, Yutian Primal-dual active set algorithm for valuating American options under regime switching. (English) Zbl 07899550 Numer. Methods Partial Differ. Equations 40, No. 5, Article ID e23104, 19 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M60 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Wen, Xin; Song, Haiming; Li, Yutian; Gao, Zihan A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis. (English) Zbl 07899235 Comput. Appl. Math. 43, No. 6, Paper No. 345, 24 p. (2024). MSC: 35A35 90A09 65K10 65M12 65M60 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Sheng; Dong, Lijuan Dynamics of a stochastic regime-switching four-species food chain model with distributed delays and harvesting. (English) Zbl 07898498 Methodol. Comput. Appl. Probab. 26, No. 3, Paper No. 25, 15 p. (2024). MSC: 92D25 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Alia, Ishak; Alia, Mohamed Sofiane Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model. (English) Zbl 07897757 Math. Control Relat. Fields 14, No. 3, 918-971 (2024). MSC: 93E20 49N10 60H30 60J74 × Cite Format Result Cite Review PDF Full Text: DOI
Qin, Shanshan; Tan, Zhenni; Wu, Yuehua On robust estimation of hidden semi-Markov regime-switching models. (English) Zbl 07897721 Ann. Oper. Res. 338, No. 2-3, 1049-1081 (2024). MSC: 62Mxx 62Pxx 91Gxx × Cite Format Result Cite Review PDF Full Text: DOI
Dai, Zhiwen; Li, Lingfei Deep learning for enhanced index tracking. (English) Zbl 07897036 Quant. Finance 24, No. 5, 569-591 (2024). MSC: 91G10 68T07 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Maurya, Vikas; Singh, Ankit; Rajpoot, Manoj K. Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models. (English) Zbl 07893831 J. Appl. Math. Comput. 70, No. 2, 1601-1632 (2024). MSC: 91G60 65L06 91G20 60G40 45K05 × Cite Format Result Cite Review PDF Full Text: DOI
Mu, Wanrong; Chiu, Sung Nok; Wang, Guojing Pricing CDS index tranches under thinning-dependence structure with regime switching. (English) Zbl 07890911 J. Comput. Appl. Math. 451, Article ID 116080, 21 p. (2024). MSC: 91G20 91G40 62P05 62H05 × Cite Format Result Cite Review PDF Full Text: DOI
Nwankwo, Chinonso I.; Dai, Weizhong Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model. (English) Zbl 07890791 Decis. Econ. Finance 47, No. 1, 43-82 (2024). MSC: 91G60 65M50 65M06 65L06 65D05 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps. (English) Zbl 07889699 Appl. Stoch. Models Bus. Ind. 40, No. 2, 281-305 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Cao, Wenjie; Wu, Fuke; Wu, Minyu Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching. (English) Zbl 07889310 Nonlinear Anal., Hybrid Syst. 53, Article ID 101487, 17 p. (2024). MSC: 93E15 93C70 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Shengshuang; Guo, Yingxin; Zhang, Chuan Stationary distribution of a stochastic epidemic model with distributed delay under regime switching. (English) Zbl 07886681 J. Appl. Math. Comput. 70, No. 1, 789-808 (2024). MSC: 92D30 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Sunju; Lee, Younhee Real option pricing under the regime-switching model with jumps on a finite time horizon. (English) Zbl 1541.91261 J. Comput. Appl. Math. 448, Article ID 115893, 15 p. (2024). MSC: 91G50 91G60 65M06 × Cite Format Result Cite Review PDF Full Text: DOI
Zhao, Yuexu; Bao, Jiayong Barrier option pricing in regime switching models with rebates. (English) Zbl 07874590 Acta Math. Appl. Sin., Engl. Ser. 40, No. 3, 849-861 (2024). MSC: 91G20 60B15 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu-Ching Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach. (English) Zbl 07872893 Asia-Pac. Financ. Mark. 31, No. 2, 285-305 (2024). MSC: 91G20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Ma, Chenglin; Zhao, Huaizhong Stochastic differential games with controlled regime-switching. (English) Zbl 07872430 Comput. Appl. Math. 43, No. 4, Paper No. 264, 27 p. (2024). MSC: 91A15 91A05 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Mao, Ruoyun; Shen, Wenyi; Yang, Shu-Chun S. Can passive monetary policy decrease the debt burden? (English) Zbl 07868289 J. Econ. Dyn. Control 159, Article ID 104802, 24 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Guambe, Calisto; Kufakunesu, Rodwell; Mabitsela, Lesedi Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory. (English) Zbl 07866370 Math. Control Relat. Fields 14, No. 2, 747-768 (2024). MSC: 91G05 93E20 91A15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Non-homogeneous stochastic LQ control with regime switching and random coefficients. (English) Zbl 07866368 Math. Control Relat. Fields 14, No. 2, 671-694 (2024). MSC: 93E20 49N10 60H30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Peng; Jin, Xinghu; Shen, Tian; Su, Zhonggen Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes. (English) Zbl 1541.60050 J. Theor. Probab. 37, No. 2, 1597-1626 (2024). MSC: 60H35 60H10 60J60 65C30 60J27 60J76 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Bo; Li, Lingfei Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (English) Zbl 07865861 J. Econ. Dyn. Control 158, Article ID 104787, 28 p. (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Urga, Giovanni; Wang, Fa Estimation and inference for high dimensional factor model with regime switching. (English) Zbl 07863977 J. Econom. 241, No. 2, Article ID 105752, 18 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Luu, Phong; Song, Nicole; Tie, Jingzhi; Zhang, Qing Pairs trading under geometric Brownian motions with regime switching. (English) Zbl 1541.91242 Pure Appl. Funct. Anal. 9, No. 3, 783-810 (2024). MSC: 91G15 60J70 49L12 × Cite Format Result Cite Review PDF Full Text: Link
Chen, Huiling; Zhang, Chunmei; Yang, Han Well-posedness of stochastic multi-weighted complex networks with regime-switching diffusions. (English) Zbl 1541.93371 Commun. Nonlinear Sci. Numer. Simul. 135, Article ID 108073, 16 p. (2024). MSC: 93E15 93B70 92D25 × Cite Format Result Cite Review PDF Full Text: DOI
Deng, Guohe; Liu, Shuai Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate. (English) Zbl 07860045 Int. J. Comput. Math. 101, No. 3, 331-356 (2024). MSC: 91G20 91G30 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Congjin; Wang, Guojing; Dong, Yinghui; Wang, Pin The valuation at origination of mortgages with full prepayment and default risks. (English) Zbl 07859380 Methodol. Comput. Appl. Probab. 26, No. 2, Paper No. 12, 26 p. (2024). MSC: 60-08 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Xuekang; Shu, Huisheng; Liu, Dajun Stability of stochastic Gilpin-Ayala model driven by \(\alpha\)-stable process under regime switching. (English) Zbl 07859016 Commun. Stat., Theory Methods 53, No. 10, 3459-3471 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Li, Yongcai; Zhang, Yingfang; Feng, Jiqiang Synchronization of delayed neutral-type multi-weights networks with jump diffusion via intermittent control. (English) Zbl 1537.93609 Int. J. Control 97, No. 4, 728-743 (2024). MSC: 93D23 93B70 93C43 × Cite Format Result Cite Review PDF Full Text: DOI
Lux, Thomas Estimation of regime-switching diffusions via Fourier transforms. (English) Zbl 1539.62028 Stat. Comput. 34, No. 2, Paper No. 88, 16 p. (2024). MSC: 62-08 62M05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Marra, Giampiero; Radice, Rosalba; Zimmer, David A unifying switching regime regression framework with applications in health economics. (English) Zbl 07854457 Econom. Rev. 43, No. 1, 52-70 (2024). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Han, Miao; Wang, Wei Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models. (English) Zbl 07850686 Commun. Stat., Theory Methods 53, No. 7, 2329-2354 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Shao, Jinghai Comparison theorem and stability under perturbation of transition rate matrices for regime-switching processes. (English) Zbl 1537.60102 J. Appl. Probab. 61, No. 2, 540-557 (2024). MSC: 60J27 60J60 60K37 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hong, Song-Yu; Zhang, Hao-Min; Lu, Yuan-Qiao; Jiang, Yuan-Ying A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching. (English) Zbl 1536.91334 Japan J. Ind. Appl. Math. 41, No. 2, 1079-1095 (2024). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Jiamin; Zhang, Chunmei; Chen, Huiling Exponential stability of stochastic multi-layer complex network with regime-switching diffusion via aperiodically intermittent control. (English) Zbl 1536.93738 Inf. Sci. 662, Article ID 120241, 24 p. (2024). MSC: 93D23 93E15 93B70 × Cite Format Result Cite Review PDF Full Text: DOI
Gao, Yue; Jiang, Xiaomeng; Li, Yong Recurrence and periodicity for stochastic differential equations with regime-switching jump diffusions. (English) Zbl 07835192 Discrete Contin. Dyn. Syst., Ser. B 29, No. 6, 2679-2709 (2024). MSC: 60H10 34C25 34C27 37B20 × Cite Format Result Cite Review PDF Full Text: DOI
Chatterjee, Bihan; Goswami, Anindya; Overbeck, Ludger Locally risk minimizing pricing of Asian option in a semi-Markov modulated market. (English) Zbl 07834392 Stochastic Anal. Appl. 42, No. 2, 451-474 (2024). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G20 35Q91 60K15 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Ziqing Multi-regime foreign exchange rate model: calibration and pricing. (English) Zbl 1540.91079 Math. Comput. Simul. 220, 204-218 (2024). MSC: 91G20 91B70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Celary, Andreas; Eksi-Altay, Zehra; Krühner, Paul Regime-switching affine term structures. (English) Zbl 1536.91340 Quant. Finance 24, No. 1, 139-155 (2024). MSC: 91G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan Bubbles and dependence between international equity markets. (English) Zbl 1536.91343 Quant. Finance 24, No. 1, 119-138 (2024). MSC: 91G45 62P05 62H05 × Cite Format Result Cite Review PDF Full Text: DOI
Sandrić, Nikola Periodic homogenization of a class of weakly coupled systems of linear PDEs. (English) Zbl 07830975 Comput. Appl. Math. 43, No. 1, Paper No. 57, 26 p. (2024). MSC: 35B27 35J57 35K45 60F17 60J25 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ai, Meiqiao; Wang, Yunyun; Zhang, Zhimin; Zhu, Dan Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees. (English) Zbl 1536.91274 Scand. Actuar. J. 2024, No. 3, 252-278 (2024). MSC: 91G05 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Mao, Yong-Hua; Shao, Jinghai Averaging principle for two time-scale regime-switching processes. (English) Zbl 07829926 Electron. J. Probab. 29, Paper No. 14, 21 p. (2024). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 60H10 34K33 37A30 60J76 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hieu, Nguyen T.; Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George Analyzing a class of stochastic SIRS models under imperfect vaccination. (English) Zbl 1534.92042 J. Franklin Inst. 361, No. 3, 1284-1302 (2024). MSC: 92C60 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yong Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing. (English) Zbl 1534.91176 Numer. Algorithms 95, No. 3, 1055-1077 (2024). MSC: 91G60 45K05 65M06 65M12 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Mazzonetto, Sara; Pigato, Paolo Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations. (English) Zbl 07796631 Stat. Sin. 34, No. 1, 313-336 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Ya; Wu, Fuke; Yin, George Limit theorems of additive functionals for regime-switching diffusions with infinite delay. (English) Zbl 1531.60024 Stochastic Processes Appl. 167, Article ID 104215, 28 p. (2024). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60F05 60B12 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Yayun; Liu, Shengda Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model. (English) Zbl 1536.91338 Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107605, 19 p. (2024). MSC: 91G20 91G60 42A38 × Cite Format Result Cite Review PDF Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Kanniainen, Juho Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market. (English) Zbl 1540.91073 Math. Comput. Simul. 215, 228-269 (2024). MSC: 91G20 62P05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Zhen; Zhang, Yan Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls. (English) Zbl 1530.93553 J. Math. Anal. Appl. 530, No. 2, Article ID 127720, 25 p. (2024). MSC: 93E20 93C27 60H30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Yayun Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method. (English) Zbl 1527.91145 J. Math. Anal. Appl. 530, No. 1, Article ID 127666, 21 p. (2024). MSC: 91G05 42A20 × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Cunxin; Song, Haiming; Yang, Jinda; Zhou, Bocheng Error analysis of finite difference scheme for American option pricing under regime-switching with jumps. (English) Zbl 1528.91078 J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Shuang; Chou, Lot-Kei; Chen, Xu; Lei, Siu-Long A preconditioned iterative method for coupled fractional partial differential equation in European option pricing. (English) Zbl 07919420 Open Math. 21, Article ID 20230169, 16 p. (2023). MSC: 65M06 65N06 65F08 65F10 15B05 26A33 35R11 91G20 91G80 91G60 35Q91 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Blazsek, Szabolcs; Haddad, Michel Ferreira Cardia Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution. (English) Zbl 07863050 Stud. Nonlinear Dyn. Econom. 27, No. 4, 589-634 (2023). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Li, Chaojun; Liu, Yan Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities. (English) Zbl 07862884 Econom. J. 26, No. 1, 67-87 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gankhuu, Battulga Parameter estimation methods of required rate of return on stock. (English) Zbl 1536.91315 Int. J. Theor. Appl. Finance 26, No. 8, Article ID 2450005, 37 p. (2023). MSC: 91G15 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Ming-Kai; Wang, Cheng; Yin, Jun-Feng A second-order ADI method for pricing options under fractional regime-switching models. (English) Zbl 1533.91498 Netw. Heterog. Media 18, No. 2, 647-663 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 26A33 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Siu, Tak Kuen European option pricing with market frictions, regime switches and model uncertainty. (English) Zbl 1532.91125 Insur. Math. Econ. 113, 233-250 (2023). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Shi, Yanlin A simulation study on the Markov regime-switching zero-drift GARCH model. (English) Zbl 07801426 Ann. Oper. Res. 330, No. 1-2, 1-20 (2023). MSC: 62Mxx 62Pxx 91Gxx × Cite Format Result Cite Review PDF Full Text: DOI
Yousuf, M.; Khaliq, A. Q. M. Pricing American option using a modified fractional Black-Scholes model under multi-state regime switching. (English) Zbl 1531.91276 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350019, 21 p. (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 35R11 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Song, Zihao; Han, Miao Correlation options pricing with exchange rate risk under regime-switching jump-diffusion models. (Chinese. English summary) Zbl 07793048 Chin. J. Appl. Probab. Stat. 39, No. 4, 547-560 (2023). MSC: 91G20 60J74 × Cite Format Result Cite Review PDF Full Text: Link
Heidari, Saghar Numerical approach for coupled systems resulting from pricing of derivatives: modeling and pricing of installment options. (English) Zbl 07781821 Math. Methods Appl. Sci. 46, No. 4, 4663-4675 (2023). MSC: 91G60 65M60 91G20 35R35 × Cite Format Result Cite Review PDF Full Text: DOI
Yousuf, Muhammad; Khaliq, Abdul Q. M. Partial differential integral equation model for pricing American option under multi state regime switching with jumps. (English) Zbl 07776943 Numer. Methods Partial Differ. Equations 39, No. 2, 890-912 (2023). MSC: 65-XX 35-XX × Cite Format Result Cite Review PDF Full Text: DOI
Adrangi, Bahram; Chatrath, Arjun; Raffiee, Kambiz S&P 500 volatility, volatility regimes, and economic uncertainty. (English) Zbl 1530.91561 Bull. Econ. Res. 75, No. 4, 1362-1387 (2023). MSC: 91G20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Kirch, Claudia; Klein, Philipp Moving sum data segmentation for stochastic processes based on invariance. (English) Zbl 07763180 Stat. Sin. 33, No. 2, 873-892 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mei, Xiaoling; Wang, Yachong; Zhu, Weixuan Bayesian nonparametric portfolio selection with rolling maximum drawdown control. (English) Zbl 1530.91533 Quant. Finance 23, No. 10, 1497-1510 (2023). MSC: 91G10 93B45 62M05 × Cite Format Result Cite Review PDF Full Text: DOI
Alvarez E., Luis H. R.; Sillanpää, Wiljami Optimal stopping and impulse control in the presence of an anticipated regime switch. (English) Zbl 1534.49025 Math. Methods Oper. Res. 98, No. 2, 205-230 (2023). MSC: 49N25 49J55 60J99 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Stochastic linear-quadratic control with a jump and regime switching on a random horizon. (English) Zbl 1522.93189 Math. Control Relat. Fields 13, No. 4, 1597-1617 (2023). MSC: 93E20 49N10 60H30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lau, Chun Ho; Sun, Wei Periodic measures for a class of SPDEs with regime-switching. (English) Zbl 1527.60047 Stoch. Dyn. 23, No. 4, Article ID 2350034, 37 p. (2023). Reviewer: Alain Brillard (Riedisheim) MSC: 60H15 49J20 49J55 60J76 35B10 46B10 46C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liu, Jichun; Pan, Yue; Pan, Jiazhu; Almarashi, Abdullah Markov-switching Poisson generalized autoregressive conditional heteroscedastic models. (English) Zbl 07738992 Stat. Interface 16, No. 4, 531-544 (2023). MSC: 62-XX 62M10 37M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Berger, Tino; Kempa, Bernd; Zou, Feina The role of macroeconomic uncertainty in the determination of the natural rate of interest. (English) Zbl 1521.91365 Econ. Lett. 229, Article ID 111191, 5 p. (2023). MSC: 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Feng; Liu, Zaiming Dynamical behavior of a stochastic SIQS model via isolation with regime-switching. (English) Zbl 1520.92081 J. Appl. Math. Comput. 69, No. 2, 2217-2237 (2023). MSC: 92D30 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Tao, Cheng; Rong, Ximin; Zhao, Hui Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment. (English) Zbl 1521.91177 J. Math. Econ. 107, Article ID 102849, 10 p. (2023). MSC: 91B42 91B39 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Xiufang; Zhao, Dongxu; Chen, Xiaowei Asset-liability management with state-dependent utility in the regime-switching market. (English) Zbl 1520.91391 Stoch. Models 39, No. 3, 566-591 (2023). MSC: 91G15 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Su, Xiaonan; Han, Miao; Xing, Yu; Wang, Wei Pricing and hedging for correlation options with regime switching and common jump risk. (English) Zbl 07720169 Commun. Stat., Theory Methods 52, No. 18, 6504-6524 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Calzolari, Giorgio; Campolo, Maria Gabriella; Di Pino, Antonino; Magazzini, Laura Assessing individual skill influence on housework time of Italian women: an endogenous-switching approach. (English) Zbl 07719515 Stat. Methods Appl. 32, No. 2, 659-679 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Zhu, Song-Ping; Zheng, Yawen An integral equation approach for pricing American put options under regime-switching model. (English) Zbl 1515.91163 Int. J. Comput. Math. 100, No. 7, 1454-1479 (2023). MSC: 91G60 65C30 65R20 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Deelstra, Griselda; Hieber, Peter Randomization and the valuation of guaranteed minimum death benefits. (English) Zbl 07709397 Eur. J. Oper. Res. 309, No. 3, 1218-1236 (2023). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Tamer, Lazhar; Abdallah, Hani Ben Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model. (English) Zbl 1520.93616 Random Oper. Stoch. Equ. 31, No. 2, 103-115 (2023). MSC: 93E20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Gan, Xiaoting; Yin, Junfeng; Li, Rui On the convergence of a Crank-Nicolson fitted finite volume method for pricing european options under regime-switching Kou’s jump-diffusion models. (English) Zbl 1524.65455 Adv. Appl. Math. Mech. 15, No. 5, 1290-1314 (2023). MSC: 65M08 65M12 91G60 35R09 91G20 35Q91 65N06 65N08 65M06 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Yike; Liu, Jingzhen; Wei, Jiaqin Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach. (English) Zbl 1520.91375 Stochastics 95, No. 2, 235-265 (2023). MSC: 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yong; Hu, Ruizi \(L^\infty\)-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. (English) Zbl 1538.65609 Int. J. Comput. Math. 100, No. 6, 1373-1394 (2023). MSC: 65R20 45K05 91G60 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Bao, Te; Corgnet, Brice; Hanaki, Nobuyuki; Riyanto, Yohanes E.; Zhu, Jiahua Predicting the unpredictable: new experimental evidence on forecasting random walks. (English) Zbl 1518.91291 J. Econ. Dyn. Control 146, Article ID 104571, 32 p. (2023). MSC: 91G30 60G50 91-05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Ge, Shuyi A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (English) Zbl 1518.91304 J. Econ. Dyn. Control 146, Article ID 104565, 30 p. (2023). MSC: 91G45 × Cite Format Result Cite Review PDF Full Text: DOI Link
Das, Milan Kumar; Goswami, Anindya; Rajani, Sharan Inference of binary regime models with jump discontinuities. (English) Zbl 1517.60110 Sankhyā, Ser. B 85, No. 1, Suppl., S49-S86 (2023). MSC: 60J76 62F12 62M09 91G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Abbaspour, Manijeh; Vajargah, Kianoush Fathi; Azhdari, Parvin An efficient algorithm for pricing reinsurance contract under the regime-switching model. (English) Zbl 1540.91084 Math. Comput. Simul. 211, 278-300 (2023). MSC: 91G60 65C05 91G05 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Ma, Yong; Chen, Li; Lyu, Jianping Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility. (English) Zbl 07702493 Commun. Stat., Theory Methods 52, No. 7, 2043-2056 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Ge, Hao; Li, Xingyi; Li, Xun; Li, Zhongfei Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow. (English) Zbl 07701382 Commun. Stat., Theory Methods 52, No. 6, 1797-1832 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Shao, Jinghai; Tian, Taoran From the optimal singular stochastic control to the optimal stopping for regime-switching processes. (English) Zbl 1516.93276 SIAM J. Control Optim. 61, No. 3, 1631-1650 (2023). MSC: 93E20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Colwell, David B. Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains. (English) Zbl 1516.60044 Stat. Probab. Lett. 195, Article ID 109786, 7 p. (2023). MSC: 60J27 60G55 60E10 × Cite Format Result Cite Review PDF Full Text: DOI
Shao, Jinghai; Wang, Lingdi; Wu, Qiong Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching. (English) Zbl 1515.60269 Stochastic Processes Appl. 161, 1-23 (2023). MSC: 60J60 60H10 37H30 60J27 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dama, Fatoumata; Sinoquet, Christine Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting – application to machine health prognostics. (English) Zbl 07694479 Mach. Learn. 112, No. 1, 45-97 (2023). MSC: 68T05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models. (English) Zbl 1520.91304 Scand. Actuar. J. 2023, No. 4, 330-358 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Damircheli, Davood; Razzaghi, Mohsen; Kazemi, Seyed-Mohammad-Mahdi; Bastani, Ali Foroush A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model. (English) Zbl 1521.91385 Eng. Anal. Bound. Elem. 150, 364-373 (2023). MSC: 91G60 60G51 62P05 65D12 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Wen, Jiaqiang; Li, Xun; Xiong, Jie; Zhang, Xin Stochastic linear-quadratic optimal control problems with random coefficients and Markovian regime switching system. (English) Zbl 1512.49033 SIAM J. Control Optim. 61, No. 2, 949-979 (2023). Reviewer: Savin Treanta (Bucureşti) MSC: 49N10 49J55 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bao, Jianhai; Shao, Jinghai; Wei, Dong Wellposedness of conditional McKean-Vlasov equations with singular drifts and regime-switching. (English) Zbl 1515.60070 Discrete Contin. Dyn. Syst., Ser. B 28, No. 5, 2911-2926 (2023). Reviewer: Ze-Chun Hu (Chengdu) MSC: 60F10 60J55 60K37 60J10 × Cite Format Result Cite Review PDF Full Text: DOI
Mata, Dante; Moreno-Franco, Harold A.; Noba, Kei; Pérez, José-Luis On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes. (English) Zbl 1511.91163 Nonlinear Anal., Hybrid Syst. 48, Article ID 101332, 30 p. (2023). MSC: 91G50 93E20 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bian, Lihua; Yao, Haixiang Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching. (English) Zbl 1524.91082 J. Ind. Manag. Optim. 19, No. 8, 5984-6011 (2023). MSC: 91G05 91G30 91A10 91A80 × Cite Format Result Cite Review PDF Full Text: DOI