When this Markov chain is irreducible, it can be proved theoretically that the system will always return to its initial state, and also the expected time of return can be determined. This return time depends upon the stationary probability distribution, which is determined as the solution of an...
For an irreducible stochastic matrix T, the Kemeny constant K(T) measures the expected time to mixing of the Markov chain corresponding to T. Given a strongly connected directed graph D, we consider the set ΣD of stochastic matrices whose directed graph is subordinate to D, and compute the...
Therefore, the expected return of the market portfolio does not change at the time \(\beta\) is calculated. This is the spillover flow of change in the first quadrant. Next, the changes in the second quadrant are observed. In the second quadrant, changes in the expected dividend growth ...
The Markov chains were simulated using the Metropolis-within-Gibbs algorithm as described in the “Methods” section. Finally, for each set of the model parameters from the generated MCMC chain, we simulated the ETAS process forward in time using the well-established thinning algorithm42 and ...
Under these assumptions, we study the finite-time expected present value of operating costs until ruin. The continuous time Markov chain (CTMC) approximation technique is used to approximate the intensity process in the Cox model, and the Fourier cosine series expansion (COS) method is applied to...
We know that a biochemical system evolves with time as a continuous-time Markov process. When this Markov chain is irreducible, it can be proved theoretically that the system will always return to its initial state, and also the expected time of return can bedetermined. This return time ...
The discounted return associated with a finite state Markov chain X sub 1, X sub 2... is given by g(X sub 1) + alpha 2g(X sub 3) + ..., where g(x) represents the immediate return from state x. Knowing the transition matrix of the chain, it is desired to compute the expected...
We estimate the value of the premium for multi-year lockups in a variety of strategies using a discrete-time Markov chain model for the evolution of hedge funds, in which a hedge fund at any time can be in one of three states: Good, Sick or Dead. For convertible bond funds, for ...
Markov chainsArticleIn the author's paper "Coupling and Mixing Times in Markov Chains" (Res. Lett. Inf. Math. Sci, 11, 1–22, 2007) it was shown that it is very difficult to find explicit expressions for the expected time to coupling in a general Markov chain. In this paper simple ...
In this paper, a novel Markov chain model is presented to derive the joint probability distribution of the backoff stage and the BC that are picked by a node. Based on this model, the expected CWS, the expected BC, and the expected Number of Doubling Contention Window (NDCW) under the ...