We consider the spectral analysis of several examples of bilateral birth–death processes and compute explicitly the spectral matrix and the corresponding orthogonal polynomials. We also use the spectral representation to study some probabilistic proper…
We consider the spectral analysis of several examples of bilateral birth–death processes and compute explicitly the spectral matrix and the corresponding orthogonal polynomials. We also use the spectral representation to study some probabilistic proper…
Bifurcating Markov chains (BMCs) are Markov chains indexed by a full binary tree representing the evolution of a trait along a population where each individual has two children. We provide a central limit theorem for additive functionals of BMCs under …
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure bet…
We study the integrated telegraph process under the assumption of general distribution for the random times between consecutive reversals of direction. Specifically, represents the position, at time t, of a particle moving U time units upwards with v…
We consider residue expansions for survival and density/mass functions of first-passage distributions in finite-state semi-Markov processes (SMPs) in continuous and integer time. Conditions are given which guarantee that the residue expansions for thes…
We consider residue expansions for survival and density/mass functions of first-passage distributions in finite-state semi-Markov processes (SMPs) in continuous and integer time. Conditions are given which guarantee that the residue expansions for thes…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent’s preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonline…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent’s preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonline…
Restless bandits are a class of sequential resource allocation problems concerned with allocating one or more resources among several alternative processes where the evolution of the processes depends on the resources allocated to them. Such models cap…