English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper we present elementary computations for some Markov modulatedcounting processes, also called counting processes with regime switching.Regime switching has become an increasingly popular concept in many branches ofscience. In finance, for instance, one could identify the background processwith the `state of the economy', to which asset prices react, or as anidentification of the varying default rate of an obligor. The key feature ofthe counting processes in this paper is that their intensity processes arefunctions of a finite state Markov chain. This kind of processes can be used tomodel default events of some companies.  Many quantities of interest in this paper, like conditional characteristicfunctions, can all be derived from conditional probabilities, which can, inprinciple, be analytically computed. We will also study limit results formodels with rapid switching, which occur when inflating the intensity matrix ofthe Markov chain by a factor tending to infinity. The paper is largelyexpository in nature, with a didactic flavor.

Explicit computations for some Markov modulated counting processes