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Symmetry analysis of reversible Markov chains
Reversible markov chain orbital diagram characteristic vector；the mixture of markov chain an arbitrary number
2015/8/11
We show how to use subgroups of the symmetry group of a reversible Markov chain to give useful bounds on eigenvalues and their multiplicity. We supplement classical representation theoretic tools invo...
Markov链利率下相依风险模型破产概率的上界
相依风险 Markov链利率 离散时间风险模型 破产概率
2012/11/13
考虑一类离散时间风险模型的破产问题. 模型中假设保费过程和理赔过程都具有一阶自回归结构(AR(1)), 并且利率过程是取值于可数状态空间的齐次Markov链. 针对保费在期初收取和期末收取两种不同的情况, 用鞅方法得到了其各自破产概率的上界.
Markov random fields are often used to model high dimensional distributions in a number of applied areas. A number of recent papers have studied the problem of reconstructing a dependency graph of bou...