3 papers
math.PR2019
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…
math.ST2018
Bayesian Estimations for Diagonalizable Bilinear SPDEs
Ziteng Cheng, Igor Cialenco, Ruoting Gong
The main goal of this paper is to study the parameter estimation problem, using the Bayesian methodology, for the drift coefficient of some linear (parabolic) SPDEs driven by a mul…
math.PR2018
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…