We investigate two approaches, namely, the Esscher transform and the extended Girsanov's
principle, for option valuation in a discrete-time hidden Markov regime-switching Gaussian …

We investigate an optimal refinancing problem for an interest‐only mortgage, where the
market mortgage rate is defined as the classical Black‐Scholes geometric Brownian motion …

In this paper we consider the field of local times of a discrete-time Markov chain on a general
state space, and obtain uniform (in time) upper bounds on the total variation distance …

Interleaving is a mechanism universally used in wireless access technologies to alleviate
the effect of channel correlation. In spite of its wide adoption, to the best of our knowledge …

Standard approaches to estimating credit default probability estimation have certain
drawbacks, most importantly regarding the underestimation of the true default probability …