Hieu, Nguyen T.; Nguyen, Dang H.; Nguyen, Nhu N.; Yin, George Analyzing a class of stochastic SIRS models under imperfect vaccination. (English) Zbl 07816107 J. Franklin Inst. 361, No. 3, 1284-1302 (2024). MSC: 92C60 60H30 PDFBibTeX XMLCite \textit{N. T. Hieu} et al., J. Franklin Inst. 361, No. 3, 1284--1302 (2024; Zbl 07816107) 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 07806993 Numer. Algorithms 95, No. 3, 1055-1077 (2024). MSC: 65C20 65C40 65M06 91G20 91G60 PDFBibTeX XMLCite \textit{Y. Chen}, Numer. Algorithms 95, No. 3, 1055--1077 (2024; Zbl 07806993) 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 PDFBibTeX XMLCite \textit{S. Mazzonetto} and \textit{P. Pigato}, Stat. Sin. 34, No. 1, 313--336 (2024; Zbl 07796631) Full Text: DOI arXiv
Wang, Ya; Wu, Fuke; Yin, George Limit theorems of additive functionals for regime-switching diffusions with infinite delay. (English) Zbl 07785658 Stochastic Processes Appl. 167, Article ID 104215, 28 p. (2024). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60F05 60B12 60H20 PDFBibTeX XMLCite \textit{Y. Wang} et al., Stochastic Processes Appl. 167, Article ID 104215, 28 p. (2024; Zbl 07785658) 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 07784262 Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107605, 19 p. (2024). MSC: 60-XX 91-XX PDFBibTeX XMLCite \textit{Y. Wang} and \textit{S. Liu}, Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107605, 19 p. (2024; Zbl 07784262) 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 07764066 Math. Comput. Simul. 215, 228-269 (2024). MSC: 91-XX 90-XX PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., Math. Comput. Simul. 215, 228--269 (2024; Zbl 07764066) Full Text: DOI
Wu, Zhen; Zhang, Yan Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls. (English) Zbl 07762453 J. Math. Anal. Appl. 530, No. 2, Article ID 127720, 25 p. (2024). MSC: 93E20 93C27 60H30 91G10 PDFBibTeX XMLCite \textit{Z. Wu} and \textit{Y. Zhang}, J. Math. Anal. Appl. 530, No. 2, Article ID 127720, 25 p. (2024; Zbl 07762453) 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 PDFBibTeX XMLCite \textit{Y. Wang}, J. Math. Anal. Appl. 530, No. 1, Article ID 127666, 21 p. (2024; Zbl 1527.91145) 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 PDFBibTeX XMLCite \textit{C. Huang} et al., J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024; Zbl 1528.91078) Full Text: DOI
Wang, Ming-Kai; Wang, Cheng; Yin, Jun-Feng A second-order ADI method for pricing options under fractional regime-switching models. (English) Zbl 07818894 Netw. Heterog. Media 18, No. 2, 647-663 (2023). MSC: 91Bxx PDFBibTeX XMLCite \textit{M.-K. Wang} et al., Netw. Heterog. Media 18, No. 2, 647--663 (2023; Zbl 07818894) Full Text: DOI
Siu, Tak Kuen European option pricing with market frictions, regime switches and model uncertainty. (English) Zbl 07804010 Insur. Math. Econ. 113, 233-250 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{T. K. Siu}, Insur. Math. Econ. 113, 233--250 (2023; Zbl 07804010) Full Text: DOI
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 PDFBibTeX XMLCite \textit{Y. Shi}, Ann. Oper. Res. 330, No. 1--2, 1--20 (2023; Zbl 07801426) 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 07793177 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 PDFBibTeX XMLCite \textit{M. Yousuf} and \textit{A. Q. M. Khaliq}, Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350019, 21 p. (2023; Zbl 07793177) 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: 60J22 PDFBibTeX XMLCite \textit{Z. Song} and \textit{M. Han}, Chin. J. Appl. Probab. Stat. 39, No. 4, 547--560 (2023; Zbl 07793048) 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: 74S05 91G20 PDFBibTeX XMLCite \textit{S. Heidari}, Math. Methods Appl. Sci. 46, No. 4, 4663--4675 (2023; Zbl 07781821) 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 PDFBibTeX XMLCite \textit{M. Yousuf} and \textit{A. Q. M. Khaliq}, Numer. Methods Partial Differ. Equations 39, No. 2, 890--912 (2023; Zbl 07776943) Full Text: DOI
Adrangi, Bahram; Chatrath, Arjun; Raffiee, Kambiz S&P 500 volatility, volatility regimes, and economic uncertainty. (English) Zbl 07765925 Bull. Econ. Res. 75, No. 4, 1362-1387 (2023). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{B. Adrangi} et al., Bull. Econ. Res. 75, No. 4, 1362--1387 (2023; Zbl 07765925) 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 PDFBibTeX XMLCite \textit{C. Kirch} and \textit{P. Klein}, Stat. Sin. 33, No. 2, 873--892 (2023; Zbl 07763180) Full Text: DOI arXiv
Mei, Xiaoling; Wang, Yachong; Zhu, Weixuan Bayesian nonparametric portfolio selection with rolling maximum drawdown control. (English) Zbl 07762004 Quant. Finance 23, No. 10, 1497-1510 (2023). MSC: 91G10 93B45 62M05 PDFBibTeX XMLCite \textit{X. Mei} et al., Quant. Finance 23, No. 10, 1497--1510 (2023; Zbl 07762004) 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 07754805 Math. Methods Oper. Res. 98, No. 2, 205-230 (2023). MSC: 49N25 PDFBibTeX XMLCite \textit{L. H. R. Alvarez E.} and \textit{W. Sillanpää}, Math. Methods Oper. Res. 98, No. 2, 205--230 (2023; Zbl 07754805) 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 PDFBibTeX XMLCite \textit{Y. Hu} et al., Math. Control Relat. Fields 13, No. 4, 1597--1617 (2023; Zbl 1522.93189) 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 PDFBibTeX XMLCite \textit{C. H. Lau} and \textit{W. Sun}, Stoch. Dyn. 23, No. 4, Article ID 2350034, 37 p. (2023; Zbl 1527.60047) 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 PDFBibTeX XMLCite \textit{J. Liu} et al., Stat. Interface 16, No. 4, 531--544 (2023; Zbl 07738992) 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 PDFBibTeX XMLCite \textit{T. Berger} et al., Econ. Lett. 229, Article ID 111191, 5 p. (2023; Zbl 1521.91365) 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 PDFBibTeX XMLCite \textit{F. Wang} and \textit{Z. Liu}, J. Appl. Math. Comput. 69, No. 2, 2217--2237 (2023; Zbl 1520.92081) 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 PDFBibTeX XMLCite \textit{C. Tao} et al., J. Math. Econ. 107, Article ID 102849, 10 p. (2023; Zbl 1521.91177) 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 PDFBibTeX XMLCite \textit{X. Li} et al., Stoch. Models 39, No. 3, 566--591 (2023; Zbl 1520.91391) 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 PDFBibTeX XMLCite \textit{X. Su} et al., Commun. Stat., Theory Methods 52, No. 18, 6504--6524 (2023; Zbl 07720169) 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 PDFBibTeX XMLCite \textit{G. Calzolari} et al., Stat. Methods Appl. 32, No. 2, 659--679 (2023; Zbl 07719515) 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 PDFBibTeX XMLCite \textit{S.-P. Zhu} and \textit{Y. Zheng}, Int. J. Comput. Math. 100, No. 7, 1454--1479 (2023; Zbl 1515.91163) Full Text: DOI
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 PDFBibTeX XMLCite \textit{G. Deelstra} and \textit{P. Hieber}, Eur. J. Oper. Res. 309, No. 3, 1218--1236 (2023; Zbl 07709397) Full Text: DOI
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 PDFBibTeX XMLCite \textit{L. Tamer} and \textit{H. B. Abdallah}, Random Oper. Stoch. Equ. 31, No. 2, 103--115 (2023; Zbl 1520.93616) 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 PDFBibTeX XMLCite \textit{X. Gan} et al., Adv. Appl. Math. Mech. 15, No. 5, 1290--1314 (2023; Zbl 1524.65455) 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 PDFBibTeX XMLCite \textit{Y. Wang} et al., Stochastics 95, No. 2, 235--265 (2023; Zbl 1520.91375) 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 07705626 Int. J. Comput. Math. 100, No. 6, 1373-1394 (2023). MSC: 65R20 45K05 91G60 91G20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{R. Hu}, Int. J. Comput. Math. 100, No. 6, 1373--1394 (2023; Zbl 07705626) 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 PDFBibTeX XMLCite \textit{T. Bao} et al., J. Econ. Dyn. Control 146, Article ID 104571, 32 p. (2023; Zbl 1518.91291) Full Text: DOI
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 PDFBibTeX XMLCite \textit{S. Ge}, J. Econ. Dyn. Control 146, Article ID 104565, 30 p. (2023; Zbl 1518.91304) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M. K. Das} et al., Sankhyā, Ser. B 85, No. 1, S49--S86 (2023; Zbl 1517.60110) 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 07704408 Math. Comput. Simul. 211, 278-300 (2023). MSC: 91-XX 62-XX PDFBibTeX XMLCite \textit{M. Abbaspour} et al., Math. Comput. Simul. 211, 278--300 (2023; Zbl 07704408) 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 PDFBibTeX XMLCite \textit{Y. Ma} et al., Commun. Stat., Theory Methods 52, No. 7, 2043--2056 (2023; Zbl 07702493) 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 PDFBibTeX XMLCite \textit{H. Ge} et al., Commun. Stat., Theory Methods 52, No. 6, 1797--1832 (2023; Zbl 07701382) Full Text: DOI
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 PDFBibTeX XMLCite \textit{J. Shao} and \textit{T. Tian}, SIAM J. Control Optim. 61, No. 3, 1631--1650 (2023; Zbl 1516.93276) 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 PDFBibTeX XMLCite \textit{D. B. Colwell}, Stat. Probab. Lett. 195, Article ID 109786, 7 p. (2023; Zbl 1516.60044) 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 PDFBibTeX XMLCite \textit{J. Shao} et al., Stochastic Processes Appl. 161, 1--23 (2023; Zbl 1515.60269) 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 PDFBibTeX XMLCite \textit{F. Dama} and \textit{C. Sinoquet}, Mach. Learn. 112, No. 1, 45--97 (2023; Zbl 07694479) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M. Ai} et al., Scand. Actuar. J. 2023, No. 4, 330--358 (2023; Zbl 1520.91304) 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 PDFBibTeX XMLCite \textit{D. Damircheli} et al., Eng. Anal. Bound. Elem. 150, 364--373 (2023; Zbl 1521.91385) 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 PDFBibTeX XMLCite \textit{J. Wen} et al., SIAM J. Control Optim. 61, No. 2, 949--979 (2023; Zbl 1512.49033) 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 PDFBibTeX XMLCite \textit{J. Bao} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 5, 2911--2926 (2023; Zbl 1515.60070) 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 PDFBibTeX XMLCite \textit{D. Mata} et al., Nonlinear Anal., Hybrid Syst. 48, Article ID 101332, 30 p. (2023; Zbl 1511.91163) 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 PDFBibTeX XMLCite \textit{L. Bian} and \textit{H. Yao}, J. Ind. Manag. Optim. 19, No. 8, 5984--6011 (2023; Zbl 1524.91082) Full Text: DOI
Alia, Ishak; Alia, Mohamed Sofiane Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model. (English) Zbl 1524.91098 J. Ind. Manag. Optim. 19, No. 4, 2396-2435 (2023). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{I. Alia} and \textit{M. S. Alia}, J. Ind. Manag. Optim. 19, No. 4, 2396--2435 (2023; Zbl 1524.91098) Full Text: DOI
Benth, Fred E.; Deelstra, Griselda; Kozpınar, And Sinem Pricing energy quanto options in the framework of Markov-modulated additive processes. (English) Zbl 07653423 IMA J. Manag. Math. 34, No. 1, 187-220 (2023). MSC: 90-XX 91-XX PDFBibTeX XMLCite \textit{F. E. Benth} et al., IMA J. Manag. Math. 34, No. 1, 187--220 (2023; Zbl 07653423) Full Text: DOI
Meitz, Mika; Preve, Daniel; Saikkonen, Pentti A mixture autoregressive model based on Student’s \(t\)-distribution. (English) Zbl 07649581 Commun. Stat., Theory Methods 52, No. 2, 499-515 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Meitz} et al., Commun. Stat., Theory Methods 52, No. 2, 499--515 (2023; Zbl 07649581) Full Text: DOI arXiv
Shi, Yanlin Long memory and regime switching in the stochastic volatility modelling. (English) Zbl 07645016 Ann. Oper. Res. 320, No. 2, 999-1020 (2023). MSC: 62Mxx 62Pxx 91Bxx PDFBibTeX XMLCite \textit{Y. Shi}, Ann. Oper. Res. 320, No. 2, 999--1020 (2023; Zbl 07645016) Full Text: DOI
He, Xin-Jiang; Lin, Sha A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching. (English) Zbl 1505.91382 Japan J. Ind. Appl. Math. 40, No. 1, 525-536 (2023). MSC: 91G20 60J20 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S. Lin}, Japan J. Ind. Appl. Math. 40, No. 1, 525--536 (2023; Zbl 1505.91382) Full Text: DOI
Yang, Huan; Tan, Yuanshun; Yang, Jin Dynamic behavior of stochastic prostate cancer system with comprehensive therapy under regime switching. (English) Zbl 1505.92112 Appl. Math. Modelling 113, 398-415 (2023). MSC: 92C50 60H30 PDFBibTeX XMLCite \textit{H. Yang} et al., Appl. Math. Modelling 113, 398--415 (2023; Zbl 1505.92112) Full Text: DOI
Zhong, Wei; Cui, Zhenyu; Zhang, Zhimin Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk. (English) Zbl 1510.91173 J. Comput. Appl. Math. 422, Article ID 114914, 26 p. (2023). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G05 60G40 PDFBibTeX XMLCite \textit{W. Zhong} et al., J. Comput. Appl. Math. 422, Article ID 114914, 26 p. (2023; Zbl 1510.91173) Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Hamdi, Abdelouahed Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm. (English) Zbl 07619079 Math. Comput. Simul. 204, 660-678 (2023). MSC: 91-XX 90-XX PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., Math. Comput. Simul. 204, 660--678 (2023; Zbl 07619079) Full Text: DOI
Ai, Meiqiao; Zhang, Zhimin; Yu, Wenguang Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model. (English) Zbl 1524.91081 J. Ind. Manag. Optim. 19, No. 3, 1573-1594 (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{M. Ai} et al., J. Ind. Manag. Optim. 19, No. 3, 1573--1594 (2023; Zbl 1524.91081) Full Text: DOI
Chan, Leunglung; Zhu, Song-Ping An exact and explicit formula for pricing lookback options with regime switching. (English) Zbl 1513.91083 J. Ind. Manag. Optim. 19, No. 1, 723-729 (2023). MSC: 91G20 60J70 PDFBibTeX XMLCite \textit{L. Chan} and \textit{S.-P. Zhu}, J. Ind. Manag. Optim. 19, No. 1, 723--729 (2023; Zbl 1513.91083) Full Text: DOI arXiv
Ai, Meiqiao; Zhang, Zhimin; Zhong, Wei Valuation of a DB underpin hybrid pension under a regime-switching Lévy model. (English) Zbl 1500.91108 J. Comput. Appl. Math. 419, Article ID 114736, 16 p. (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{M. Ai} et al., J. Comput. Appl. Math. 419, Article ID 114736, 16 p. (2023; Zbl 1500.91108) Full Text: DOI
Liu, Yan; Xu, Wentao; Guan, Zhen Stabilization of complex-valued stochastic coupled systems with multiple time delays and regime-switching jump diffusion via periodically intermittent control. (English) Zbl 07798593 Inf. Sci. 584, 450-466 (2022). MSC: 93E15 93C43 93C15 60H30 PDFBibTeX XMLCite \textit{Y. Liu} et al., Inf. Sci. 584, 450--466 (2022; Zbl 07798593) Full Text: DOI
Liu, He; Dai, Chuanjun; Yu, Hengguo; Guo, Qing; Li, Jianbing; Hao, Aimin; Kikuchi, Jun; Zhao, Min Dynamics of a stochastic phytoplankton-toxic phytoplankton-zooplankton system under regime switching. (English) Zbl 07781402 Math. Methods Appl. Sci. 45, No. 16, 9769-9786 (2022). MSC: 34F05 37A30 92D25 PDFBibTeX XMLCite \textit{H. Liu} et al., Math. Methods Appl. Sci. 45, No. 16, 9769--9786 (2022; Zbl 07781402) Full Text: DOI
Zhou, Jing Collateral quality and house prices. (English) Zbl 1518.91135 J. Econ. Dyn. Control 145, Article ID 104514, 23 p. (2022). MSC: 91B55 91B50 PDFBibTeX XMLCite \textit{J. Zhou}, J. Econ. Dyn. Control 145, Article ID 104514, 23 p. (2022; Zbl 1518.91135) Full Text: DOI
Sakurai, Yuji; Kurosaki, Tetsuo Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis? (English) Zbl 1518.91266 Quant. Finance 22, No. 12, 2219-2236 (2022). MSC: 91G15 PDFBibTeX XMLCite \textit{Y. Sakurai} and \textit{T. Kurosaki}, Quant. Finance 22, No. 12, 2219--2236 (2022; Zbl 1518.91266) Full Text: DOI
Chen, Pu; Hsiao, Chih-Ying; Semmler, Willi Instability in regime switching models. (English) Zbl 07681751 Stud. Nonlinear Dyn. Econom. 26, No. 5, 655-674 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. Chen} et al., Stud. Nonlinear Dyn. Econom. 26, No. 5, 655--674 (2022; Zbl 07681751) Full Text: DOI
Hurn, Stan; Johnson, Nicholas; Silvennoinen, Annastiina; Teräsvirta, Timo Transition from the Taylor rule to the zero lower bound. (English) Zbl 07681749 Stud. Nonlinear Dyn. Econom. 26, No. 5, 635-647 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Hurn} et al., Stud. Nonlinear Dyn. Econom. 26, No. 5, 635--647 (2022; Zbl 07681749) Full Text: DOI
Virolainen, Savi A mixture autoregressive model based on Gaussian and Student’s \(t\)-distributions. (English) Zbl 07681745 Stud. Nonlinear Dyn. Econom. 26, No. 4, 559-580 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Virolainen}, Stud. Nonlinear Dyn. Econom. 26, No. 4, 559--580 (2022; Zbl 07681745) Full Text: DOI arXiv
Shah, Irfan Ahmad; Kundu, Srikanta Asymmetries in the monetary policy reaction function: evidence from India. (English) Zbl 07681744 Stud. Nonlinear Dyn. Econom. 26, No. 4, 541-558 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{I. A. Shah} and \textit{S. Kundu}, Stud. Nonlinear Dyn. Econom. 26, No. 4, 541--558 (2022; Zbl 07681744) Full Text: DOI
Blazsek, Szabolcs; Escribano, Alvaro; Licht, Adrian Multivariate Markov-switching score-driven models: an application to the global crude oil market. (English) Zbl 07679720 Stud. Nonlinear Dyn. Econom. 26, No. 3, 313-335 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Blazsek} et al., Stud. Nonlinear Dyn. Econom. 26, No. 3, 313--335 (2022; Zbl 07679720) Full Text: DOI
Shao, Jinghai; Wei, Dong Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching. (English) Zbl 1514.60108 Front. Math. China 17, No. 4, 731-746 (2022). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 60K35 60B05 60B10 PDFBibTeX XMLCite \textit{J. Shao} and \textit{D. Wei}, Front. Math. China 17, No. 4, 731--746 (2022; Zbl 1514.60108) Full Text: DOI
Heidari, Saghar; Azari, Hossein Pricing perpetual American options under regime switching jump diffusion models. (Persian. English summary) Zbl 1508.91560 JAMM, J. Adv. Math. Model. 12, No. 4, 477-493 (2022). MSC: 91G20 60G40 45K05 PDFBibTeX XMLCite \textit{S. Heidari} and \textit{H. Azari}, JAMM, J. Adv. Math. Model. 12, No. 4, 477--493 (2022; Zbl 1508.91560) Full Text: DOI
Smorodina, N. V.; Faddeev, M. M. A limit theorem for regime-switching diffusion processes. (English. Russian original) Zbl 1509.60138 J. Math. Sci., New York 268, No. 5, 704-710 (2022); translation from Zap. Nauchn. Semin. POMI 495, 267-276 (2020). MSC: 60J60 60H10 60J27 PDFBibTeX XMLCite \textit{N. V. Smorodina} and \textit{M. M. Faddeev}, J. Math. Sci., New York 268, No. 5, 704--710 (2022; Zbl 1509.60138); translation from Zap. Nauchn. Semin. POMI 495, 267--276 (2020) Full Text: DOI
Harris, Richard D. F.; Mazibas, Murat A component Markov regime-switching autoregressive conditional range model. (English) Zbl 1503.91113 Bull. Econ. Res. 74, No. 2, 650-683 (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{R. D. F. Harris} and \textit{M. Mazibas}, Bull. Econ. Res. 74, No. 2, 650--683 (2022; Zbl 1503.91113) Full Text: DOI
Ma, Xiaocui; Li, Jun; Xi, Fubao Large deviations for multi-scale regime-switching jump diffusion systems. (English) Zbl 1504.60043 Commun. Pure Appl. Anal. 21, No. 12, 4363-4389 (2022). Reviewer: André Schlichting (Münster) MSC: 60F10 60H10 60J76 60J60 60K37 PDFBibTeX XMLCite \textit{X. Ma} et al., Commun. Pure Appl. Anal. 21, No. 12, 4363--4389 (2022; Zbl 1504.60043) Full Text: DOI
Guo, Zhiyu; Bai, Yizhou A lattice approach for option pricing under a regime-switching GARCH-jump model. (English) Zbl 1505.91379 Probab. Eng. Inf. Sci. 36, No. 4, 1138-1170 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{Z. Guo} and \textit{Y. Bai}, Probab. Eng. Inf. Sci. 36, No. 4, 1138--1170 (2022; Zbl 1505.91379) Full Text: DOI
Grigorenko, N. L.; Khailov, E. N.; Grigorieva, E. V.; Klimenkova, A. D. Lotka-Volterra competition model with a nonmonotone therapy function for finding optimal strategies in the treatment of blood cancers. (English. Russian original) Zbl 1505.92100 Proc. Steklov Inst. Math. 317, Suppl. 1, S71-S89 (2022); translation from Tr. Inst. Mat. Mekh. (Ekaterinburg) 27, No. 2, 79-98 (2021). MSC: 92C50 49J30 93C10 PDFBibTeX XMLCite \textit{N. L. Grigorenko} et al., Proc. Steklov Inst. Math. 317, S71--S89 (2022; Zbl 1505.92100); translation from Tr. Inst. Mat. Mekh. (Ekaterinburg) 27, No. 2, 79--98 (2021) Full Text: DOI
Zhang, Tianqi; Li, Bingqing Pricing double-barrier option with processes depending on various states of the economy. (English) Zbl 07613953 Commun. Stat., Theory Methods 51, No. 23, 8296-8309 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{T. Zhang} and \textit{B. Li}, Commun. Stat., Theory Methods 51, No. 23, 8296--8309 (2022; Zbl 07613953) Full Text: DOI
Si, Kehan; Xu, Zhenda; Cedric, Yiu Ka Fai; Li, Xun Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system. (English) Zbl 1513.49078 J. Ind. Manag. Optim. 18, No. 4, 2415-2433 (2022). MSC: 49N10 49N35 93E20 PDFBibTeX XMLCite \textit{K. Si} et al., J. Ind. Manag. Optim. 18, No. 4, 2415--2433 (2022; Zbl 1513.49078) Full Text: DOI
Xie, Yan; Liu, Zhijun; Qi, Ke; Shangguan, Dongchen; Wang, Qinglong A stochastic mussel-algae model under regime switching. (English) Zbl 1501.92216 Math. Biosci. Eng. 19, No. 5, 4794-4811 (2022). MSC: 92D40 92D25 PDFBibTeX XMLCite \textit{Y. Xie} et al., Math. Biosci. Eng. 19, No. 5, 4794--4811 (2022; Zbl 1501.92216) Full Text: DOI
Mamplata, Jonathan; Mamon, Rogemar; David, Guido Modelling and filtering for dynamic investment in the precious-metals market. (English) Zbl 1513.91080 Int. J. Comput. Math. 99, No. 12, 2382-2409 (2022). MSC: 91G15 PDFBibTeX XMLCite \textit{J. Mamplata} et al., Int. J. Comput. Math. 99, No. 12, 2382--2409 (2022; Zbl 1513.91080) Full Text: DOI
Lazić, Petra; Sandrić, Nikola On subgeometric ergodicity of regime-switching diffusion processes. (English) Zbl 1498.60327 Nonlinear Anal., Hybrid Syst. 46, Article ID 101262, 24 p. (2022). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60J60 60J25 60J27 60J74 PDFBibTeX XMLCite \textit{P. Lazić} and \textit{N. Sandrić}, Nonlinear Anal., Hybrid Syst. 46, Article ID 101262, 24 p. (2022; Zbl 1498.60327) Full Text: DOI arXiv
Song, Yuanzhuo; Wu, Zhen A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching. (English) Zbl 1503.93051 ESAIM, Control Optim. Calc. Var. 28, Paper No. 61, 19 p. (2022). MSC: 93E20 60J20 PDFBibTeX XMLCite \textit{Y. Song} and \textit{Z. Wu}, ESAIM, Control Optim. Calc. Var. 28, Paper No. 61, 19 p. (2022; Zbl 1503.93051) Full Text: DOI
Kabanov, Yuri; Pergamenshchikov, Sergey On ruin probabilities with investments in a risky asset with a regime-switching price. (English) Zbl 1498.91361 Finance Stoch. 26, No. 4, 877-897 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{Y. Kabanov} and \textit{S. Pergamenshchikov}, Finance Stoch. 26, No. 4, 877--897 (2022; Zbl 1498.91361) Full Text: DOI arXiv
Yin, Wensheng; Cao, Jinde; Ren, Yong Inverse optimal control of regime-switching jump diffusions. (English) Zbl 1508.93333 Math. Control Relat. Fields 12, No. 3, 567-579 (2022). MSC: 93E20 93E15 49N45 60H10 60J74 PDFBibTeX XMLCite \textit{W. Yin} et al., Math. Control Relat. Fields 12, No. 3, 567--579 (2022; Zbl 1508.93333) Full Text: DOI
Dela Vega, Engel John C.; Elliott, Robert J. A stochastic control approach to bid-ask price modelling. (English) Zbl 1498.91433 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250021, 30 p. (2022). MSC: 91G20 93E20 49L20 PDFBibTeX XMLCite \textit{E. J. C. Dela Vega} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250021, 30 p. (2022; Zbl 1498.91433) Full Text: DOI arXiv
Guan, Chonghu; Peng, Jing; Xu, Zuo Quan A free boundary problem arising from a multi-state regime-switching stock trading model. (English) Zbl 1497.35526 J. Differ. Equations 337, 436-459 (2022). MSC: 35R35 35K87 91B70 91B60 PDFBibTeX XMLCite \textit{C. Guan} et al., J. Differ. Equations 337, 436--459 (2022; Zbl 1497.35526) Full Text: DOI arXiv
Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao Optimal dividends under Markov-modulated bankruptcy level. (English) Zbl 1503.91088 Insur. Math. Econ. 106, 146-172 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{G. Ferrari} et al., Insur. Math. Econ. 106, 146--172 (2022; Zbl 1503.91088) Full Text: DOI arXiv
Shi, Banban; Wang, Ya; Wu, Fuke Ergodicity of regime-switching functional diffusions with infinite delay and application to a numerical algorithm for stochastic optimization. (English) Zbl 1497.60114 SIAM J. Control Optim. 60, No. 5, 2658-2683 (2022). MSC: 60J60 93E20 34K50 90C15 PDFBibTeX XMLCite \textit{B. Shi} et al., SIAM J. Control Optim. 60, No. 5, 2658--2683 (2022; Zbl 1497.60114) Full Text: DOI
Li, Jun; Xi, Fubao Exponential ergodicity for regime-switching diffusion processes in total variation norm. (English) Zbl 1498.60328 Discrete Contin. Dyn. Syst., Ser. B 27, No. 10, 6125-6146 (2022). MSC: 60J60 60H10 60K37 PDFBibTeX XMLCite \textit{J. Li} and \textit{F. Xi}, Discrete Contin. Dyn. Syst., Ser. B 27, No. 10, 6125--6146 (2022; Zbl 1498.60328) Full Text: DOI
Goswami, Anindya; Rana, Nimit; Siu, Tak Kuen Regime switching optimal growth model with risk sensitive preferences. (English) Zbl 1497.91185 J. Math. Econ. 101, Article ID 102702, 18 p. (2022). MSC: 91B62 91B70 60J20 93E20 PDFBibTeX XMLCite \textit{A. Goswami} et al., J. Math. Econ. 101, Article ID 102702, 18 p. (2022; Zbl 1497.91185) Full Text: DOI arXiv
Zhou, Hui; Chen, Yuting; Chu, Dianhui; Li, Wenxue Stabilization of stochastic coupled systems with Lévy noise and regime switching diffusions via intermittent control with a time delay. (English) Zbl 1497.93238 Commun. Nonlinear Sci. Numer. Simul. 114, Article ID 106680, 17 p. (2022). MSC: 93E15 93D23 60G51 93B52 93C43 PDFBibTeX XMLCite \textit{H. Zhou} et al., Commun. Nonlinear Sci. Numer. Simul. 114, Article ID 106680, 17 p. (2022; Zbl 1497.93238) Full Text: DOI
Zhou, Congjin; Wang, Guojing; Liu, Liang; Guo, Jie Valuation of mortgage pass-through securities with partial prepayment risk. (English) Zbl 07565481 Commun. Stat., Theory Methods 51, No. 15, 5124-5145 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Zhou} et al., Commun. Stat., Theory Methods 51, No. 15, 5124--5145 (2022; Zbl 07565481) Full Text: DOI
Lyu, Jianping; Ma, Yong; Sun, Wei A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps. (English) Zbl 07565480 Commun. Stat., Theory Methods 51, No. 15, 5112-5123 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{J. Lyu} et al., Commun. Stat., Theory Methods 51, No. 15, 5112--5123 (2022; Zbl 07565480) Full Text: DOI
Wang, Liang; Jiang, Daqing; Feng, Tao Threshold dynamics in a stochastic chemostat model under regime switching. (English) Zbl 07562495 Physica A 599, Article ID 127454, 16 p. (2022). MSC: 82-XX PDFBibTeX XMLCite \textit{L. Wang} et al., Physica A 599, Article ID 127454, 16 p. (2022; Zbl 07562495) Full Text: DOI
Lai, Wan Ni Detecting stock market regimes from option prices. (English) Zbl 1525.91182 Oper. Res. Lett. 50, No. 3, 260-267 (2022). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{W. N. Lai}, Oper. Res. Lett. 50, No. 3, 260--267 (2022; Zbl 1525.91182) Full Text: DOI
Zhang, Yunbo; Drapeau, Samuel On model robustness of the regime switching approach for pegged foreign exchange markets. (English) Zbl 1495.91118 Quant. Finance 22, No. 7, 1371-1390 (2022). MSC: 91G15 91G20 PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{S. Drapeau}, Quant. Finance 22, No. 7, 1371--1390 (2022; Zbl 1495.91118) Full Text: DOI
Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method. (English) Zbl 1492.91303 Insur. Math. Econ. 105, 96-127 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{B. Kang} et al., Insur. Math. Econ. 105, 96--127 (2022; Zbl 1492.91303) Full Text: DOI
Li, Yanling; Oravecz, Zita; Zhou, Shuai; Bodovski, Yosef; Barnett, Ian J.; Chi, Guangqing; Zhou, Yuan; Friedman, Naomi P.; Vrieze, Scott I.; Chow, Sy-Miin Bayesian forecasting with a regime-switching zero-inflated multilevel Poisson regression model: an application to adolescent alcohol use with spatial covariates. (English) Zbl 1490.62409 Psychometrika 87, No. 2, 376-402 (2022). MSC: 62P15 62M10 62F15 62P10 PDFBibTeX XMLCite \textit{Y. Li} et al., Psychometrika 87, No. 2, 376--402 (2022; Zbl 1490.62409) Full Text: DOI