87 citations · 266 across the 25 of their papers we have counts for
6 papers · 1 filter
A Semi-Markov Modulated Interest Rate Model
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated…
Reliability measures of second order semi-Markov chain applied to wind energy production
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
In this paper we consider the problem of wind energy production by using a second order semi-Markov chain in state and duration as a model of wind speed. The model used in this pap…
Performability analysis of the second order semi-Markov chains: an application to wind energy production
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
In this paper a general second order semi-Markov reward model is presented. Equations for the higher order moments of the reward process are presented for the first time and applie…
Weighted-indexed semi-Markov models for modeling financial returns
Guglielmo D'Amico, Filippo Petroni
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the fina…
First and second order semi-Markov chains for wind speed modeling
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov c…
Wind speed modeled as an indexed semi-Markov process
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov c…