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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…
q-fin.RM2019
Fair Estimation of Capital Risk Allocation
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…