Markov Chain Monte Carlo (MCMC) methods have become indispensable in contemporary statistical science, enabling researchers to approximate complex probability distributions that are otherwise ...

This is a preview. Log in through your library . Abstract This paper describes and compares several methods for computing stationary probability distributions of Markov chains. The main linear algebra ...

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We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by a pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value ...