In this paper we present the semi-martingale representation for a discrete time semi-Markov chain, and consider its application to a semi-Markov regime-switching binomial model in nance. We also introduce a semi-Markov switching Levy process. Estimationresults for a Markov and semi-Markov chains are presented as well.
З 31.12.2014 по 01.03.2015 Наукова бібліотека читачів не обслуговує.
