We consider a class of discrete time, dynamic decision-making models which we refer to as Periodically Time-Inhomogeneous Markov Decision Processes (PTMDPs). In these models, the decision-making ...
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 valuefunction of an American option ...
Semi-Markov processes extend traditional Markov models by explicitly accounting for the time spent in each state before transitioning. This added temporal dimension is particularly valuable in credit ...
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