Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 31 - 45 of 175.

Add to Quick Collection   All 175 Results

Sort:
 Add All Items to Quick Collection
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/289272
Description: This paper is focusing on finding smooth approximate solutions of the HJB inequality that corresponds to the infinite horizon optimal control problem with discounting. We establish that such approxima ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/200418
Description: Markovian forward-backward stochastic differential equations, (MFBSDEs), are discussed by exploiting techniques of stochastic flows. Using martingale representation, a differentiation rule, stochastic ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172658
Description: This work studies a proportional hazards model for survival data with "long-term survivors, in which covariates are subject to linear measurement error. It is well known that the naive estimators from ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310368
Description: 42 page(s)
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/175803
Description: The effects of multiple mesoscale convective systems (MCSs) on the formation of Typhoon Ketsana (2003) are analyzed in this study. Numerical simulations using the Weather Research and Forecasting (WRF ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174247
Description: We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selecti ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/188200
Description: We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the es ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/167966
Description: Pig growth simulation models are used to determine feeding strategies that improve profitability on commercial farms. For a given farm, the number of diets fed, their energy, amino acid content, the q ... More
Reviewed: Reviewed
Date: 2011
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/165602
Description: In the present work, we solve a problem of the appropriate and efficient truncation of the computational domain (a principal problem of computational electrodynamics) in so-called open problems (the p ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/160323
Description: In this article we present an algorithm for the three-dimensional numerical simulation of the sound spectrum and the propagation of acoustic radiation inside and around long slender hollow objects. Th ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/168696
Description: The lasso algorithm for variable selection in linear models, introduced by Tibshirani, works by imposing an $l_1$~norm bound constraint on the variables in a least squares model and then tuning the mo ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143435
Description: We introduce an approach for valuing some path-dependent options in a discrete-time Markov chain market based on the characteristic function of a vector of occupation times of the chain. A pricing ker ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143432
Description: A discrete-time control problem of a finite-state hidden Markov chain partially observed in a fractional Gaussian process is discussed using filtering. The control problem is then recast as a separate ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163378
Description: We investigate the default time of a firm when a stochastic discount factor is used so that both diffusion and regime switching risks are priced. We establish the relationship between the probability ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/134307
Description: We discuss the existence of an admissible investment strategy for any given consumption rate process in a Markov, regime-switching Black-Scholes-Merton economy. A martingale representation for a doubl ... More
Reviewed: Reviewed