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A Convergence Result in the Estimation of Markov Chains with Application to Compound Options

✍ Scribed by D'amico, Guglielmo


Book ID
127271906
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
123 KB
Volume
2
Category
Article
ISSN
1559-8608

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In an earlier paper [J.J. Hunter, Mixing times with applications to perturbed Markov chains, Linear Algebra Appl. 417 (2006) 108-123] the author introduced the statistic Ξ· i = m j =1 m ij Ο€ j as a measure of the "mixing time" or "time to stationarity" in a finite irreducible discrete time Markov cha