|
|||||
|
|
A copula-based approximation to Markov chains |
|
| Authors: | Zhou Zhengyong Xie Jiehua Yang Jingping |
| Institution: | 1.Department of Financial Mathematics, Peking University, Beijing, 100871, China ;2.School of Statistics, Jiangxi University of Finance and Economics, Nanchang, 330013, China ;3.Key Laboratory of Mathematical Economics and Quantitative Finance, Ministry of Education, Beijing, 100871, China ; |
| Abstract: | Science China Mathematics - The Markov chain is well studied and widely applied in many areas. For some Markov chains, it is infeasible to obtain the explicit expressions of their corresponding... |
| Keywords: | |
| 本文献已被 维普 SpringerLink 等数据库收录！ | |