4 citations · 7 across the 10 of their papers we have counts for
4 papers · 1 filter
The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and…
Wiener-Hopf Factorization for Arithmetic Brownian Motion with Time-Dependent Drift and Volatility
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this p…
Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains
Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1
This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Tomasz R. Bielecki, Igor Cialenco, Ruoting Gong +1
In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investiga…