5 citations · 9 across the 4 of their papers we have counts for
4 papers
Submartingale Condition for Weak Convergence for Semi-Markov Processes
Vitaliy Golomoziy
In this paper, we consider a modified version of a well-known submartingale condition fortheweak convergence of probabilitymeasures, adapted to the semi-Markov case. In this settin…
Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
Vitaliy Golomoziy, Kamil Kladivko, Yuliya Mishura
We consider a continuous-time financial market with an asset whose price is modeled by a linear stochastic differential equation with drift and volatility switching driven by a uni…
On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence
Vitaliy Golomoziy
The main subject of the study in this paper is the simultaneous renewal time for two time-inhomogeneous Markov chains which start with arbitrary initial distributions. By a simulta…
An estimate for an expectation of the simultaneous renewal for time-inhomogeneous Markov chains
Vitaliy Golomoziy
In this paper, we consider two time-inhomogeneous Markov chains , , with discrete time on a general state space. We assume the existence of some renewal set…