Memory and Anticipation: Two Main Theorems for Markov Regime-Switching Stochastic Processes
| dc.contributor.author | Savku, E. | |
| dc.date.accessioned | 2024-12-05T20:49:15Z | |
| dc.date.available | 2024-12-05T20:49:15Z | |
| dc.date.issued | 2025 | |
| dc.description.abstract | We present two main theorems for stochastic processes with a Markov regime-switching model. First, we work on an existence-uniqueness theorem for a Stochastic Differential Delay Equation with Jumps and Regimes (SDDEJRs). Then we provide the duality between an SDDEJR and an Anticipated Backward Stochastic Differential Equation with Jumps and Regimes (ABSDEJRs). Our goal is to provide two technical and fundamental theorems for the future theoretical and applied developments of time-delayed and time-advanced models. | en_US |
| dc.identifier.doi | 10.1080/17442508.2024.2427733 | |
| dc.identifier.issn | 1744-2508 | |
| dc.identifier.issn | 1744-2516 | |
| dc.identifier.scopus | 2-s2.0-85209693051 | |
| dc.identifier.uri | https://doi.org/10.1080/17442508.2024.2427733 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/10300 | |
| dc.language.iso | en | en_US |
| dc.publisher | Taylor & Francis Ltd | en_US |
| dc.relation.ispartof | Stochastics | |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Stochastic differential delay equations | en_US |
| dc.subject | anticipated backward stochastic differential equations | en_US |
| dc.subject | Regime-switches | en_US |
| dc.title | Memory and Anticipation: Two Main Theorems for Markov Regime-Switching Stochastic Processes | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.institutional | Savku, E. | |
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| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [Savku, E.] Atilim Univ, Dept Comp Engn, TR-06836 Ankara, Turkiye; [Savku, E.] Univ Oslo, Dept Math, Postboks 1053, N-0316 Oslo, Norway | en_US |
| gdc.description.endpage | 1096 | |
| gdc.description.issue | 8 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q3 | |
| gdc.description.startpage | 1079 | |
| gdc.description.volume | 97 | |
| gdc.description.woscitationindex | Science Citation Index Expanded | |
| gdc.description.wosquality | Q3 | |
| gdc.identifier.openalex | W4404438804 | |
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| gdc.oaire.keywords | Mathematics - Probability | |
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| gdc.virtual.author | Savku, Emel | |
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