Relevant bibliographies by topics / Continuous time Markov chain

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Continuous time Markov chain'

Author: Grafiati
Published: 4 June 2021
Last updated: 9 March 2023

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Journal articles on the topic "Continuous time Markov chain"

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Lekgari, Mokaedi V. "Maximal Coupling Procedure and Stability of Continuous-Time Markov Chains." Bulletin of Mathematical Sciences and Applications 10 (November 2014): 30–37. http://dx.doi.org/10.18052/www.scipress.com/bmsa.10.30.

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In this study we first investigate the stability of subsampled discrete Markov chains through the use of the maximal coupling procedure. This is an extension of the available results on Markov chains and is realized through the analysis of the subsampled chain ΦΤn, where {Τn, nєZ+}is an increasing sequence of random stopping times. Then the similar results are realized for the stability of countable-state Continuous-time Markov processes by employing the skeleton-chain method.
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Eriksson, B., and M. R. Pistorius. "American Option Valuation under Continuous-Time Markov Chains." Advances in Applied Probability 47, no. 2 (June 2015): 378–401. http://dx.doi.org/10.1239/aap/1435236980.

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This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The value-function of an American option in this setting is characterised as the unique solution (in a distributional sense) of a system of variational inequalities. Furthermore, with continuous and smooth fit principles not applicable in this discrete state-space setting, a novel explicit characterisation is provided of the optimal stopping boundary in terms of the generator of the underlying Markov chain. Subsequently, an algorithm is presented for the valuation of American options under Markov chain models. By application to a suitably chosen sequence of Markov chains, the algorithm provides an approximate valuation of an American option under a class of Markov models that includes diffusion models, exponential Lévy models, and stochastic differential equations driven by Lévy processes. Numerical experiments for a range of different models suggest that the approximation algorithm is flexible and accurate. A proof of convergence is also provided.
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Eriksson, B., and M. R. Pistorius. "American Option Valuation under Continuous-Time Markov Chains." Advances in Applied Probability 47, no. 02 (June 2015): 378–401. http://dx.doi.org/10.1017/s0001867800007904.

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This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The value-function of an American option in this setting is characterised as the unique solution (in a distributional sense) of a system of variational inequalities. Furthermore, with continuous and smooth fit principles not applicable in this discrete state-space setting, a novel explicit characterisation is provided of the optimal stopping boundary in terms of the generator of the underlying Markov chain. Subsequently, an algorithm is presented for the valuation of American options under Markov chain models. By application to a suitably chosen sequence of Markov chains, the algorithm provides an approximate valuation of an American option under a class of Markov models that includes diffusion models, exponential Lévy models, and stochastic differential equations driven by Lévy processes. Numerical experiments for a range of different models suggest that the approximation algorithm is flexible and accurate. A proof of convergence is also provided.
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Yap, V. B. "Similar States in Continuous-Time Markov Chains." Journal of Applied Probability 46, no. 2 (June 2009): 497–506. http://dx.doi.org/10.1239/jap/1245676102.

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In a homogeneous continuous-time Markov chain on a finite state space, two states that jump to every other state with the same rate are called similar. By partitioning states into similarity classes, the algebraic derivation of the transition matrix can be simplified, using hidden holding times and lumped Markov chains. When the rate matrix is reversible, the transition matrix is explicitly related in an intuitive way to that of the lumped chain. The theory provides a unified derivation for a whole range of useful DNA base substitution models, and a number of amino acid substitution models.
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Yap, V. B. "Similar States in Continuous-Time Markov Chains." Journal of Applied Probability 46, no. 02 (June 2009): 497–506. http://dx.doi.org/10.1017/s002190020000560x.

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In a homogeneous continuous-time Markov chain on a finite state space, two states that jump to every other state with the same rate are called similar. By partitioning states into similarity classes, the algebraic derivation of the transition matrix can be simplified, using hidden holding times and lumped Markov chains. When the rate matrix is reversible, the transition matrix is explicitly related in an intuitive way to that of the lumped chain. The theory provides a unified derivation for a whole range of useful DNA base substitution models, and a number of amino acid substitution models.
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Kijima, Masaaki. "Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains." Journal of Applied Probability 35, no. 3 (September 1998): 545–56. http://dx.doi.org/10.1239/jap/1032265203.

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A continuous-time Markov chain on the non-negative integers is called skip-free to the right (left) if only unit increments to the right (left) are permitted. If a Markov chain is skip-free both to the right and to the left, it is called a birth–death process. Karlin and McGregor (1959) showed that if a continuous-time Markov chain is monotone in the sense of likelihood ratio ordering then it must be an (extended) birth–death process. This paper proves that if an irreducible Markov chain in continuous time is monotone in the sense of hazard rate (reversed hazard rate) ordering then it must be skip-free to the right (left). A birth–death process is then characterized as a continuous-time Markov chain that is monotone in the sense of both hazard rate and reversed hazard rate orderings. As an application, the first-passage-time distributions of such Markov chains are also studied.
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Kijima, Masaaki. "Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains." Journal of Applied Probability 35, no. 03 (September 1998): 545–56. http://dx.doi.org/10.1017/s002190020001620x.

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A continuous-time Markov chain on the non-negative integers is called skip-free to the right (left) if only unit increments to the right (left) are permitted. If a Markov chain is skip-free both to the right and to the left, it is called a birth–death process. Karlin and McGregor (1959) showed that if a continuous-time Markov chain is monotone in the sense of likelihood ratio ordering then it must be an (extended) birth–death process. This paper proves that if an irreducible Markov chain in continuous time is monotone in the sense of hazard rate (reversed hazard rate) ordering then it must be skip-free to the right (left). A birth–death process is then characterized as a continuous-time Markov chain that is monotone in the sense of both hazard rate and reversed hazard rate orderings. As an application, the first-passage-time distributions of such Markov chains are also studied.
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Ball, Frank, and Geoffrey F. Yeo. "Lumpability and marginalisability for continuous-time Markov chains." Journal of Applied Probability 30, no. 3 (September 1993): 518–28. http://dx.doi.org/10.2307/3214762.

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We consider lumpability for continuous-time Markov chains and provide a simple probabilistic proof of necessary and sufficient conditions for strong lumpability, valid in circumstances not covered by known theory. We also consider the following marginalisability problem. Let {X{t)} = {(X1(t), X2(t), · ··, Xm(t))} be a continuous-time Markov chain. Under what conditions are the marginal processes {X1(t)}, {X2(t)}, · ··, {Xm(t)} also continuous-time Markov chains? We show that this is related to lumpability and, if no two of the marginal processes can jump simultaneously, then they are continuous-time Markov chains if and only if they are mutually independent. Applications to ion channel modelling and birth–death processes are discussed briefly.
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Rydén, Tobias. "On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions." Journal of Applied Probability 33, no. 3 (September 1996): 640–53. http://dx.doi.org/10.2307/3215346.

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An aggregated Markov chain is a Markov chain for which some states cannot be distinguished from each other by the observer. In this paper we consider the identifiability problem for such processes in continuous time, i.e. the problem of determining whether two parameters induce identical laws for the observable process or not. We also study the order of a continuous-time aggregated Markov chain, which is the minimum number of states needed to represent it. In particular, we give a lower bound on the order. As a by-product, we obtain results of this kind also for Markov-modulated Poisson processes, i.e. doubly stochastic Poisson processes whose intensities are directed by continuous-time Markov chains, and phase-type distributions, which are hitting times in finite-state Markov chains.
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Rydén, Tobias. "On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions." Journal of Applied Probability 33, no. 03 (September 1996): 640–53. http://dx.doi.org/10.1017/s0021900200100087.

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An aggregated Markov chain is a Markov chain for which some states cannot be distinguished from each other by the observer. In this paper we consider the identifiability problem for such processes in continuous time, i.e. the problem of determining whether two parameters induce identical laws for the observable process or not. We also study the order of a continuous-time aggregated Markov chain, which is the minimum number of states needed to represent it. In particular, we give a lower bound on the order. As a by-product, we obtain results of this kind also for Markov-modulated Poisson processes, i.e. doubly stochastic Poisson processes whose intensities are directed by continuous-time Markov chains, and phase-type distributions, which are hitting times in finite-state Markov chains.
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Dissertations / Theses on the topic "Continuous time Markov chain"

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Rao, V. A. P. "Markov chain Monte Carlo for continuous-time discrete-state systems." Thesis, University College London (University of London), 2012. http://discovery.ucl.ac.uk/1349490/.

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A variety of phenomena are best described using dynamical models which operate on a discrete state space and in continuous time. Examples include Markov (and semi-Markov) jump processes, continuous-time Bayesian networks, renewal processes and other point processes. These continuous-time, discrete-state models are ideal building blocks for Bayesian models in fields such as systems biology, genetics, chemistry, computing networks, human-computer interactions etc. However, a challenge towards their more widespread use is the computational burden of posterior inference; this typically involves approximations like time discretization and can be computationally intensive. In this thesis, we describe a new class of Markov chain Monte Carlo methods that allow efficient computation while still being exact. The core idea is an auxiliary variable Gibbs sampler that alternately resamples a random discretization of time given the state-trajectory of the system, and then samples a new trajectory given this discretization. We introduce this idea by relating it to a classical idea called uniformization, and use it to develop algorithms that outperform the state-of-the-art for models based on the Markov jump process. We then extend the scope of these samplers to a wider class of models such as nonstationary renewal processes, and semi-Markov jump processes. By developing a more general framework beyond uniformization, we remedy various limitations of the original algorithms, allowing us to develop MCMC samplers for systems with infinite state spaces, unbounded rates, as well as systems indexed by more general continuous spaces than time.
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Alharbi, Randa. "Bayesian inference for continuous time Markov chains." Thesis, University of Glasgow, 2019. http://theses.gla.ac.uk/40972/.

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Continuous time Markov chains (CTMCs) are a flexible class of stochastic models that have been employed in a wide range of applications from timing of computer protocols, through analysis of reliability in engineering, to models of biochemical networks in molecular biology. These models are defined as a state system with continuous time transitions between the states. Extensive work has been historically performed to enable convenient and flexible definition, simulation, and analysis of continuous time Markov chains. This thesis considers the problem of Bayesian parameter inference on these models and investigates computational methodologies to enable such inference. Bayesian inference over continuous time Markov chains is particularly challenging as the likelihood cannot be evaluated in a closed form. To overcome the statistical problems associated with evaluation of the likelihood, advanced algorithms based on Monte Carlo have been used to enable Bayesian inference without explicit evaluation of the likelihoods. An additional class of approximation methods has been suggested to handle such inference problems, known as approximate Bayesian computation. Novel Markov chain Monte Carlo (MCMC) approaches were recently proposed to allow exact inference. The contribution of this thesis is in discussion of the techniques and challenges in implementing these inference methods and performing an extensive comparison of these approaches on two case studies in systems biology. We investigate how the algorithms can be designed and tuned to work on CTMC models, and to achieve an accurate estimate of the posteriors with reasonable computational cost. Through this comparison, we investigate how to avoid some practical issues with accuracy and computational cost, for example by selecting an optimal proposal distribution and introducing a resampling step within the sequential Monte-Carlo method. Within the implementation of the ABC methods we investigate using an adaptive tolerance schedule to maximise the efficiency of the algorithm and in order to reduce the computational cost.
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Witte, Hugh Douglas. "Markov chain Monte Carlo and data augmentation methods for continuous-time stochastic volatility models." Diss., The University of Arizona, 1999. http://hdl.handle.net/10150/283976.

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In this paper we exploit some recent computational advances in Bayesian inference, coupled with data augmentation methods, to estimate and test continuous-time stochastic volatility models. We augment the observable data with a latent volatility process which governs the evolution of the data's volatility. The level of the latent process is estimated at finer increments than the data are observed in order to derive a consistent estimator of the variance over each time period the data are measured. The latent process follows a law of motion which has either a known transition density or an approximation to the transition density that is an explicit function of the parameters characterizing the stochastic differential equation. We analyze several models which differ with respect to both their drift and diffusion components. Our results suggest that for two size-based portfolios of U.S. common stocks, a model in which the volatility process is characterized by nonstationarity and constant elasticity of instantaneous variance (with respect to the level of the process) greater than 1 best describes the data. We show how to estimate the various models, undertake the model selection exercise, update posterior distributions of parameters and functions of interest in real time, and calculate smoothed estimates of within sample volatility and prediction of out-of-sample returns and volatility. One nice aspect of our approach is that no transformations of the data or the latent processes, such as subtracting out the mean return prior to estimation, or formulating the model in terms of the natural logarithm of volatility, are required.
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Dai, Pra Paolo, Pierre-Yves Louis, and Ida Minelli. "Monotonicity and complete monotonicity for continuous-time Markov chains." Universität Potsdam, 2006. http://opus.kobv.de/ubp/volltexte/2006/766/.

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We analyze the notions of monotonicity and complete monotonicity for Markov Chains in continuous-time, taking values in a finite partially ordered set. Similarly to what happens in discrete-time, the two notions are not equivalent.
However, we show that there are partially ordered sets for which monotonicity and complete monotonicity coincide in continuous time but not in discrete-time.
Nous étudions les notions de monotonie et de monotonie complète pour les processus de Markov (ou chaînes de Markov à temps continu) prenant leurs valeurs dans un espace partiellement ordonné. Ces deux notions ne sont pas équivalentes, comme c'est le cas lorsque le temps est discret. Cependant, nous établissons que pour certains ensembles partiellement ordonnés, l'équivalence a lieu en temps continu bien que n'étant pas vraie en temps discret.
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Keller, Peter, Sylvie Roelly, and Angelo Valleriani. "On time duality for quasi-birth-and-death processes." Universität Potsdam, 2012. http://opus.kobv.de/ubp/volltexte/2012/5697/.

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We say that (weak/strong) time duality holds for continuous time quasi-birth-and-death-processes if, starting from a fixed level, the first hitting time of the next upper level and the first hitting time of the next lower level have the same distribution. We present here a criterion for time duality in the case where transitions from one level to another have to pass through a given single state, the so-called bottleneck property. We also prove that a weaker form of reversibility called balanced under permutation is sufficient for the time duality to hold. We then discuss the general case.
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Ayana, Haimanot, and Sarah Al-Swej. "A review of two financial market models: the Black--Scholes--Merton and the Continuous-time Markov chain models." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-55417.

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The objective of this thesis is to review the two popular mathematical models of the financialderivatives market. The models are the classical Black–Scholes–Merton and the Continuoustime Markov chain (CTMC) model. We study the CTMC model which is illustrated by themathematician Ragnar Norberg. The thesis demonstrates how the fundamental results ofFinancial Engineering work in both models.The construction of the main financial market components and the approach used for pricingthe contingent claims were considered in order to review the two models. In addition, the stepsused in solving the first–order partial differential equations in both models are explained.The main similarity between the models are that the financial market components are thesame. Their contingent claim is similar and the driving processes for both models utilizeMarkov property.One of the differences observed is that the driving process in the BSM model is the Brownianmotion and Markov chain in the CTMC model.We believe that the thesis can motivate other students and researchers to do a deeper andadvanced comparative study between the two models.
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Lo, Chia Chun. "Application of continuous time Markov chain models : option pricing, term structure of interest rates and stochastic filtering." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496255.

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Sokolović, Sonja [Verfasser]. "Multigrid methods for highdimensional, tensor structured continuous time Markov chains / Sonja Sokolović." Wuppertal : Universitätsbibliothek Wuppertal, 2017. http://d-nb.info/1135623945/34.

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Levin, Pavel. "Computing Most Probable Sequences of State Transitions in Continuous-time Markov Systems." Thèse, Université d'Ottawa / University of Ottawa, 2012. http://hdl.handle.net/10393/22918.

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Continuous-time Markov chains (CTMC's) form a convenient mathematical framework for analyzing random systems across many different disciplines. A specific research problem that is often of interest is to try to predict maximum probability sequences of state transitions given initial or boundary conditions. This work shows how to solve this problem exactly through an efficient dynamic programming algorithm. We demonstrate our approach through two different applications - ranking mutational pathways of HIV virus based on their probabilities, and determining the most probable failure sequences in complex fault-tolerant engineering systems. Even though CTMC's have been used extensively to realistically model many types of complex processes, it is often a standard practice to eventually simplify the model in order to perform the state evolution analysis. As we show here, simplifying approaches can lead to inaccurate and often misleading solutions. Therefore we expect our algorithm to find a wide range of applications across different domains.
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Popp, Anton [Verfasser], and N. [Akademischer Betreuer] Bäuerle. "Risk-Sensitive Stopping Problems for Continuous-Time Markov Chains / Anton Popp. Betreuer: N. Bäuerle." Karlsruhe : KIT-Bibliothek, 2016. http://d-nb.info/1110969678/34.

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Books on the topic "Continuous time Markov chain"

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Anderson, William J. Continuous-Time Markov Chains. New York, NY: Springer New York, 1991. http://dx.doi.org/10.1007/978-1-4612-3038-0.

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Yin, G. George, and Qing Zhang. Continuous-Time Markov Chains and Applications. New York, NY: Springer New York, 1998. http://dx.doi.org/10.1007/978-1-4612-0627-9.

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Yin, G. George, and Qing Zhang. Continuous-Time Markov Chains and Applications. New York, NY: Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-4346-9.

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J, Anderson William. Continuous-time Markov chains: An applications-oriented approach. New York: Springer-Verlag, 1991.

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J, Anderson William. Continuous-time Markov chains: An applications-oriented approach. New York: Springer-Verlag, 1991.

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Yin, George. Continuous-Time Markov Chains and Applications: A Two-Time-Scale Approach. 2nd ed. New York, NY: Springer New York, 2013.

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Yin, George. Continuous-time Markov chains and applications: A singular perturbation approach. New York: Springer, 1998.

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Yin, G. George. Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach. New York, NY: Springer New York, 1998.

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Guo, Xianping, and Onésimo Hernández-Lerma. Continuous-Time Markov Decision Processes. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-02547-1.

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Piunovskiy, Alexey, and Yi Zhang. Continuous-Time Markov Decision Processes. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-54987-9.

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Book chapters on the topic "Continuous time Markov chain"

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Romero, Paulo, and Martins Maciel. "Continuous Time Markov Chain." In Performance, Reliability, and Availability Evaluation of Computational Systems, Volume I, 439–524. Boca Raton: Chapman and Hall/CRC, 2023. http://dx.doi.org/10.1201/9781003306016-10.

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Brémaud, Pierre. "Continuous-Time Markov Models." In Markov Chains, 323–68. New York, NY: Springer New York, 1999. http://dx.doi.org/10.1007/978-1-4757-3124-8_8.

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Sericola, Bruno. "Continuous-Time Markov Chains." In Markov Chains, 89–190. Hoboken, NJ USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118731543.ch2.

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Privault, Nicolas. "Continuous-Time Markov Chains." In Springer Undergraduate Mathematics Series, 211–62. Singapore: Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-0659-4_9.

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Iannelli, Mimmo, and Andrea Pugliese. "Continuous-time Markov chains." In UNITEXT, 329–34. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-03026-5_13.

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Kijima, Masaaki. "Continuous-time Markov chains." In Markov Processes for Stochastic Modeling, 167–241. Boston, MA: Springer US, 1997. http://dx.doi.org/10.1007/978-1-4899-3132-0_4.

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Bosq, Denis, and Hung T. Nguyen. "Continuous — Time Markov Chains." In A Course in Stochastic Processes, 95–116. Dordrecht: Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-015-8769-3_5.

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Serfozo, Richard. "Continuous-Time Markov Chains." In Probability and Its Applications, 241–340. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-540-89332-5_4.

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Mailund, Thomas. "Continuous-Time Markov Chains." In Domain-Specific Languages in R, 167–82. Berkeley, CA: Apress, 2018. http://dx.doi.org/10.1007/978-1-4842-3588-1_10.

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Guttorp, Peter. "Continuous time Markov chains." In Stochastic Modeling of Scientific Data, 125–88. Boston, MA: Springer US, 1995. http://dx.doi.org/10.1007/978-1-4899-4449-8_3.

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Conference papers on the topic "Continuous time Markov chain"

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Li, Zhizhong, and Dahua Lin. "Integrating Specialized Classifiers Based on Continuous Time Markov Chain." In Twenty-Sixth International Joint Conference on Artificial Intelligence. California: International Joint Conferences on Artificial Intelligence Organization, 2017. http://dx.doi.org/10.24963/ijcai.2017/312.

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Specialized classifiers, namely those dedicated to a subset of classes, are often adopted in real-world recognition systems. However, integrating such classifiers is nontrivial. Existing methods, e.g. weighted average, usually implicitly assume that all constituents of an ensemble cover the same set of classes. Such methods can produce misleading predictions when used to combine specialized classifiers. This work explores a novel approach. Instead of combining predictions from individual classifiers directly, it first decomposes the predictions into sets of pairwise preferences, treating them as transition channels between classes, and thereon constructs a continuous-time Markov chain, and use the equilibrium distribution of this chain as the final prediction. This way allows us to form a coherent picture over all specialized predictions. On large public datasets, the proposed method obtains considerable improvement compared to mainstream ensemble methods, especially when the classifier coverage is highly unbalanced.
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Oumaima, El Joubari, Ben Othman Jalel, and Veque Veronique. "Continuous Time Markov Chain Traffic Model for Urban Environments." In GLOBECOM 2020 - 2020 IEEE Global Communications Conference. IEEE, 2020. http://dx.doi.org/10.1109/globecom42002.2020.9348256.

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Tao Yang, Prashant G. Mehta, and Sean P. Meyn. "Feedback particle filter for a continuous-time Markov chain." In 2013 American Control Conference (ACC). IEEE, 2013. http://dx.doi.org/10.1109/acc.2013.6580903.

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Li, Yu-Dun, Yun-Tao Sun, Chao Yang, Xin Wang, and Guo-Hui Zhang. "Modeling Wind Speed Time Series Using Continuous State Markov Chain." In International Conference on New Energy and Sustainable Development (NESD 2016). WORLD SCIENTIFIC, 2016. http://dx.doi.org/10.1142/9789813142589_0013.

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Galdino, Sergio. "Interval Continuous-Time Markov Chains simulation." In 2013 International Conference on Fuzzy Theory and Its Applications (iFUZZY). IEEE, 2013. http://dx.doi.org/10.1109/ifuzzy.2013.6825449.

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Ning, Gaorong, Kishor S. Trivedi, Hai Hu, and Kai-Yuan Cai. "Multi-granularity Software Rejuvenation Policy Based on Continuous Time Markov Chain." In 2011 IEEE Third International Workshop on Software Aging and Rejuvenation (WoSAR). IEEE, 2011. http://dx.doi.org/10.1109/wosar.2011.9.

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Farooq, Hasan, Md Salik Parwez, and Ali Imran. "Continuous Time Markov Chain Based Reliability Analysis for Future Cellular Networks." In GLOBECOM 2015 - 2015 IEEE Global Communications Conference. IEEE, 2014. http://dx.doi.org/10.1109/glocom.2014.7417594.

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Farooq, Hasan, Md Salik Parwez, and Ali Imran. "Continuous Time Markov Chain Based Reliability Analysis for Future Cellular Networks." In GLOBECOM 2015 - 2015 IEEE Global Communications Conference. IEEE, 2015. http://dx.doi.org/10.1109/glocom.2015.7417594.

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Lei, Tao, Shan Jiang, Xiangming Wen, Zhaoming Lu, and Lingchao Guo. "Throughput Analysis of Dense WLANs Using Continuous-Time Markov Chain Model." In 2017 IEEE Globecom Workshops (GC Wkshps). IEEE, 2017. http://dx.doi.org/10.1109/glocomw.2017.8269198.

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Bortolussi, Luca. "Hybrid Limits of Continuous Time Markov Chains." In 2011 Eighth International Conference on Quantitative Evaluation of Systems (QEST). IEEE, 2011. http://dx.doi.org/10.1109/qest.2011.10.

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Reports on the topic "Continuous time Markov chain"

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Cucuringu, Mihai, and Radek Erban. ADM-CLE Approach for Detecting Slow Variables in Continuous Time Markov Chains and Dynamic Data. Fort Belvoir, VA: Defense Technical Information Center, April 2015. http://dx.doi.org/10.21236/ada626542.

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2

Hansen, Lars Peter, and Jose Alexandre Scheinkman. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes. Cambridge, MA: National Bureau of Economic Research, September 1993. http://dx.doi.org/10.3386/t0141.

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3

Stettner, Lukasz. On the Existence and Uniqueness of Invariant Measure for Continuous Time Markov Processes,. Fort Belvoir, VA: Defense Technical Information Center, April 1986. http://dx.doi.org/10.21236/ada174758.

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4

Chejanovsky, Nor, Diana Cox-Foster, Victoria Soroker, and Ron Ophir. Honeybee modulation of infection with the Israeli acute paralysis virus, in asymptomatic, acutely infected and CCD colonies. United States Department of Agriculture, December 2013. http://dx.doi.org/10.32747/2013.7594392.bard.

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Honey bee (Apis mellifera) colony losses pose a severe risk to the food chain. The IAPV (Israeli acute paralysis virus) was correlated with CCD, a particular case of colony collapse. Honey bees severely infected with IAPV show shivering wings that progress to paralysis and subsequent death. Bee viruses, including IAPV, are widely present in honey bee colonies but often there are no pathological symptoms. Infestation of the beehive with Varroa mites or exposure to stress factors leads to significant increase in viral titers and fatal infections. We hypothesized that the honey bee is regulating/controlling IAPV and viral infections in asymptomatic infections and this control is broken through "stress" leading to acute infections and/or CCD. Our aims were: 1. To discover genetic changes in IAPV that may affect tissue tropism in the host, and/or virus infectivity and pathogenicity. 2. To elucidate mechanisms used by the host to regulate/ manage the IAPV-infection in vivo and in vitro. To achieve the above objectives we first studied stress-induced virus activation. Our data indicated that some pesticides, including myclobutanil, chlorothalonil and fluvalinate, result in amplified viral titers when bees are exposed at sub lethal levels by a single feeding. Analysis of the level of immune-related bee genes indicated that CCD-colonies exhibit altered and weaker immune responses than healthy colonies. Given the important role of viral RNA interference (RNAi) in combating viral infections we investigated if CCD-colonies were able to elicit this particular antiviral response. Deep-sequencing analysis of samples from CCD-colonies from US and Israel revealed high frequency of small interfering RNAs (siRNA) perfectly matching IAPV, Kashmir bee virus and Deformed wing virus genomes. Israeli colonies showed high titers of IAPV and a conserved RNAi pattern of targeting the viral genome .Our findings were further supported by analysis of samples from colonies experimentally infected with IAPV. Following for the first time the dynamics of IAPV infection in a group of CCD colonies that we rescued from collapse, we found that IAPV conserves its potential to act as one lethal, infectious factor and that its continuous replication in CCD colonies deeply affects their health and survival. Ours is the first report on the dominant role of IAPV in CCD-colonies outside from the US under natural conditions. We concluded that CCD-colonies do exhibit a regular siRNA response that is specific against predominant viruses associated with colony losses and other immune pathways may account for their weak immune response towards virus infection. Our findings: 1. Reveal that preventive measures should be taken by the beekeepers to avoid insecticide-based stress induction of viral infections as well as to manage CCD colonies as a source of highly infectious viruses such as IAPV. 2. Contribute to identify honey bee mechanisms involved in managing viral infections.
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5

Payment Systems Report - June of 2021. Banco de la República, February 2022. http://dx.doi.org/10.32468/rept-sist-pag.eng.2021.

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Banco de la República provides a comprehensive overview of Colombia’s finan¬cial infrastructure in its Payment Systems Report, which is an important product of the work it does to oversee that infrastructure. The figures published in this edition of the report are for the year 2020, a pandemic period in which the con¬tainment measures designed and adopted to alleviate the strain on the health system led to a sharp reduction in economic activity and consumption in Colom¬bia, as was the case in most countries. At the start of the pandemic, the Board of Directors of Banco de la República adopted decisions that were necessary to supply the market with ample liquid¬ity in pesos and US dollars to guarantee market stability, protect the payment system and preserve the supply of credit. The pronounced growth in mone¬tary aggregates reflected an increased preference for liquidity, which Banco de la República addressed at the right time. These decisions were implemented through operations that were cleared and settled via the financial infrastructure. The second section of this report, following the introduction, offers an analysis of how the various financial infrastructures in Colombia have evolved and per¬formed. One of the highlights is the large-value payment system (CUD), which registered more momentum in 2020 than during the previous year, mainly be¬cause of an increase in average daily remunerated deposits made with Banco de la República by the General Directorate of Public Credit and the National Treasury (DGCPTN), as well as more activity in the sell/buy-back market with sovereign debt. Consequently, with more activity in the CUD, the Central Securi¬ties Depository (DCV) experienced an added impetus sparked by an increase in the money market for bonds and securities placed on the primary market by the national government. The value of operations cleared and settled through the Colombian Central Counterparty (CRCC) continues to grow, propelled largely by peso/dollar non-deliverable forward (NDF) contracts. With respect to the CRCC, it is important to note this clearing house has been in charge of managing risks and clearing and settling operations in the peso/dollar spot market since the end of last year, following its merger with the Foreign Exchange Clearing House of Colombia (CCDC). Since the final quarter of 2020, the CRCC has also been re¬sponsible for clearing and settlement in the equities market, which was former¬ly done by the Colombian Stock Exchange (BVC). The third section of this report provides an all-inclusive view of payments in the market for goods and services; namely, transactions carried out by members of the public and non-financial institutions. During the pandemic, inter- and intra-bank electronic funds transfers, which originate mostly with companies, increased in both the number and value of transactions with respect to 2019. However, debit and credit card payments, which are made largely by private citizens, declined compared to 2019. The incidence of payment by check contin¬ue to drop, exhibiting quite a pronounced downward trend during the past last year. To supplement to the information on electronic funds transfers, section three includes a segment (Box 4) characterizing the population with savings and checking accounts, based on data from a survey by Banco de la República con-cerning the perception of the use of payment instruments in 2019. There also is segment (Box 2) on the growth in transactions with a mobile wallet provided by a company specialized in electronic deposits and payments (Sedpe). It shows the number of users and the value of their transactions have increased since the wallet was introduced in late 2017, particularly during the pandemic. In addition, there is a diagnosis of the effects of the pandemic on the payment patterns of the population, based on data related to the use of cash in circu¬lation, payments with electronic instruments, and consumption and consumer confidence. The conclusion is that the collapse in the consumer confidence in¬dex and the drop in private consumption led to changes in the public’s pay¬ment patterns. Credit and debit card purchases were down, while payments for goods and services through electronic funds transfers increased. These findings, coupled with the considerable increase in cash in circulation, might indicate a possible precautionary cash hoarding by individuals and more use of cash as a payment instrument. There is also a segment (in Focus 3) on the major changes introduced in regulations on the retail-value payment system in Colombia, as provided for in Decree 1692 of December 2020. The fourth section of this report refers to the important innovations and tech¬nological changes that have occurred in the retail-value payment system. Four themes are highlighted in this respect. The first is a key point in building the financial infrastructure for instant payments. It involves of the design and im¬plementation of overlay schemes, a technological development that allows the various participants in the payment chain to communicate openly. The result is a high degree of interoperability among the different payment service providers. The second topic explores developments in the international debate on central bank digital currency (CBDC). The purpose is to understand how it could impact the retail-value payment system and the use of cash if it were to be issued. The third topic is related to new forms of payment initiation, such as QR codes, bio¬metrics or near field communication (NFC) technology. These seemingly small changes can have a major impact on the user’s experience with the retail-value payment system. The fourth theme is the growth in payments via mobile tele¬phone and the internet. The report ends in section five with a review of two papers on applied research done at Banco de la República in 2020. The first analyzes the extent of the CRCC’s capital, acknowledging the relevant role this infrastructure has acquired in pro¬viding clearing and settlement services for various financial markets in Colom¬bia. The capital requirements defined for central counterparties in some jurisdic¬tions are explored, and the risks to be hedged are identified from the standpoint of the service these type of institutions offer to the market and those associated with their corporate activity. The CRCC’s capital levels are analyzed in light of what has been observed in the European Union’s regulations, and the conclusion is that the CRCC has a scheme of security rings very similar to those applied internationally and the extent of its capital exceeds what is stipulated in Colombian regulations, being sufficient to hedge other risks. The second study presents an algorithm used to identify and quantify the liquidity sources that CUD’s participants use under normal conditions to meet their daily obligations in the local financial market. This algorithm can be used as a tool to monitor intraday liquidity. Leonardo Villar Gómez Governor
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6

Monetary Policy Report - July 2022. Banco de la República, October 2022. http://dx.doi.org/10.32468/inf-pol-mont-eng.tr3-2022.

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In the second quarter, annual inflation (9.67%), the technical staff’s projections and its expectations continued to increase, remaining above the target. International cost shocks, accentuated by Russia's invasion of Ukraine, have been more persistent than projected, thus contributing to higher inflation. The effects of indexation, higher than estimated excess demand, a tighter labor market, inflation expectations that continue to rise and currently exceed 3%, and the exchange rate pressures add to those described above. High core inflation measures as well as in the producer price index (PPI) across all baskets confirm a significant spread in price increases. Compared to estimates presented in April, the new forecast trajectory for headline and core inflation increased. This was partly the result of greater exchange rate pressure on prices, and a larger output gap, which is expected to remain positive for the remainder of 2022 and which is estimated to close towards yearend 2023. In addition, these trends take into account higher inflation rate indexation, more persistent above-target inflation expectations, a quickening of domestic fuel price increases due to the correction of lags versus the parity price and higher international oil price forecasts. The forecast supposes a good domestic supply of perishable foods, although it also considers that international prices of processed foods will remain high. In terms of the goods sub-basket, the end of the national health emergency implies a reversal of the value-added tax (VAT) refund applied to health and personal hygiene products, resulting in increases in the prices of these goods. Alternatively, the monetary policy adjustment process and the moderation of external shocks would help inflation and its expectations to begin to decrease over time and resume their alignment with the target. Thus, the new projection suggests that inflation could remain high for the second half of 2022, closing at 9.7%. However, it would begin to fall during 2023, closing the year at 5.7%. These forecasts are subject to significant uncertainty, especially regarding the future behavior of external cost shocks, the degree of indexation of nominal contracts and decisions made regarding the domestic price of fuels. Economic activity continues to outperform expectations, and the technical staff’s growth projections for 2022 have been revised upwards from 5% to 6.9%. The new forecasts suggest higher output levels that would continue to exceed the economy’s productive capacity for the remainder of 2022. Economic growth during the first quarter was above that estimated in April, while economic activity indicators for the second quarter suggest that the GDP could be expected to remain high, potentially above that of the first quarter. Domestic demand is expected to maintain a positive dynamic, in particular, due to the household consumption quarterly growth, as suggested by vehicle registrations, retail sales, credit card purchases and consumer loan disbursement figures. A slowdown in the machinery and equipment imports from the levels observed in March contrasts with the positive performance of sales and housing construction licenses, which indicates an investment level similar to that registered for the first three months of the year. International trade data suggests the trade deficit would be reduced as a consequence of import levels that would be lesser than those observed in the first quarter, and stable export levels. For the remainder of the year and 2023, a deceleration in consumption is expected from the high levels seen during the first half of the year, partially as a result of lower repressed demand, tighter domestic financial conditions and household available income deterioration due to increased inflation. Investment is expected to continue its slow recovery while remaining below pre-pandemic levels. The trade deficit is expected to tighten due to projected lower domestic demand dynamics, and high prices of oil and other basic goods exported by the country. Given the above, economic growth in the second quarter of 2022 would be 11.5%, and for 2022 and 2023 an annual growth of 6.9% and 1.1% is expected, respectively. Currently, and for the remainder of 2022, the output gap would be positive and greater than that estimated in April, and prices would be affected by demand pressures. These projections continue to be affected by significant uncertainty associated with global political tensions, the expected adjustment of monetary policy in developed countries, external demand behavior, changes in country risk outlook, and the future developments in domestic fiscal policy, among others. The high inflation levels and respective expectations, which exceed the target of the world's main central banks, largely explain the observed and anticipated increase in their monetary policy interest rates. This environment has tempered the growth forecast for external demand. Disruptions in value chains, rising international food and energy prices, and expansionary monetary and fiscal policies have contributed to the rise in inflation and above-target expectations seen by several of Colombia’s main trading partners. These cost and price shocks, heightened by the effects of Russia's invasion of Ukraine, have been more prevalent than expected and have taken place within a set of output and employment recovery, variables that in some countries currently equal or exceed their projected long-term levels. In response, the U.S. Federal Reserve accelerated the pace of the benchmark interest rate increase and rapidly reduced liquidity levels in the money market. Financial market actors expect this behavior to continue and, consequently, significantly increase their expectations of the average path of the Fed's benchmark interest rate. In this setting, the U.S. dollar appreciated versus the peso in the second quarter and emerging market risk measures increased, a behavior that intensified for Colombia. Given the aforementioned, for the remainder of 2022 and 2023, the Bank's technical staff increased the forecast trajectory for the Fed's interest rate and reduced the country's external demand growth forecast. The projected oil price was revised upward over the forecast horizon, specifically due to greater supply restrictions and the interruption of hydrocarbon trade between the European Union and Russia. Global geopolitical tensions, a tightening of monetary policy in developed economies, the increase in risk perception for emerging markets and the macroeconomic imbalances in the country explain the increase in the projected trajectory of the risk premium, its trend level and the neutral real interest rate1. Uncertainty about external forecasts and their consequent impact on the country's macroeconomic scenario remains high, given the unpredictable evolution of the conflict between Russia and Ukraine, geopolitical tensions, the degree of the global economic slowdown and the effect the response to recent outbreaks of the pandemic in some Asian countries may have on the world economy. This macroeconomic scenario that includes high inflation, inflation forecasts, and expectations above 3% and a positive output gap suggests the need for a contractionary monetary policy that mitigates the risk of the persistent unanchoring of inflation expectations. In contrast to the forecasts of the April report, the increase in the risk premium trend implies a higher neutral real interest rate and a greater prevailing monetary stimulus than previously estimated. For its part, domestic demand has been more dynamic, with a higher observed and expected output level that exceeds the economy’s productive capacity. The surprising accelerations in the headline and core inflation reflect stronger and more persistent external shocks, which, in combination with the strength of aggregate demand, indexation, higher inflation expectations and exchange rate pressures, explain the upward projected inflation trajectory at levels that exceed the target over the next two years. This is corroborated by the inflation expectations of economic analysts and those derived from the public debt market, which continued to climb and currently exceed 3%. All of the above increase the risk of unanchoring inflation expectations and could generate widespread indexation processes that may push inflation away from the target for longer. This new macroeconomic scenario suggests that the interest rate adjustment should continue towards a contractionary monetary policy landscape. 1.2. Monetary policy decision Banco de la República’s Board of Directors (BDBR), at its meetings in June and July 2022, decided to continue adjusting its monetary policy. At its June meeting, the BDBR decided to increase the monetary policy rate by 150 basis points (b.p.) and its July meeting by majority vote, on a 150 b.p. increase thereof at its July meeting. Consequently, the monetary policy interest rate currently stands at 9.0% . 1 The neutral real interest rate refers to the real interest rate level that is neither stimulative nor contractionary for aggregate demand and, therefore, does not generate pressures that lead to the close of the output gap. In a small, open economy like Colombia, this rate depends on the external neutral real interest rate, medium-term components of the country risk premium, and expected depreciation. Box 1: A Weekly Indicator of Economic Activity for Colombia Juan Pablo Cote Carlos Daniel Rojas Nicol Rodriguez Box 2: Common Inflationary Trends in Colombia Carlos D. Rojas-Martínez Nicolás Martínez-Cortés Franky Juliano Galeano-Ramírez Box 3: Shock Decomposition of 2021 Forecast Errors Nicolás Moreno Arias
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