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A decomposition for Markov processes at an independent exponential time
Mihael Perman, 2017, original scientific article

Abstract: The path of Markov process ▫$X$▫ run up to an independent exponential random time ▫$S_\theta$▫ can be decomposed into the part prior to the last exit time from a point before ▫$S_\theta$▫, and the remainder up to ▫$S_\theta$▫. In this paper the laws of the two segments are identified under suitable assumptions using excursion theory.
Published in RUP: 03.01.2022; Views: 617; Downloads: 13
.pdf Full text (312,49 KB)

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Optimalna strategija pri ruleti : zaključna naloga
Elinda Elshani, 2019, undergraduate thesis

Keywords: ruleta, Klotzova strategija, pristranskost, pričakovano log-izplačilo
Published in RUP: 09.08.2019; Views: 1418; Downloads: 38
URL Link to full text

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Some extensions of optimal stopping with financial applications
Mihael Perman, Ana Zalokar, 2019, original scientific article

Keywords: optimal stopping for Markov chains, equity-linked life insurance with guarantees
Published in RUP: 14.03.2019; Views: 1731; Downloads: 157
.pdf Full text (214,48 KB)

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