5 citations · 5 across the 3 of their papers we have counts for
3 papers
math.PR2025
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…
math.PR2025
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…
math.PR2020★ 5 cited
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…