Discrete-Time Markov Jump Linear Systems

By Oswaldo Luiz do Valle Costa, M. Fragoso, R. P. Marques. IEEE Transactions on Automatic Control, 2004

1,365 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/729d4c6068511517a140835b2dba05657c96b1a6

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Citations in the corpus

Efficient Perturbation Methods for Solving Regime-Switching DSGE Models (2015, neutral): “(2011) among others, this paper uses the concept of mean square stability (MSS), as defined in Costa et al. (2005), to characterize stable solutions of non-time-varying transition probabilities.”
Filtering of discrete‐time Markov jump linear systems with uncertain transition probabilities (2011, background): “There is a large amount of theory in the literature that extend the usual concepts of stability, observability, controllability, H2 and H∞ norms to this special class, see [1] and references therein.”
Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models (2016, methodology): “• We first use the Gröbner-bases method to obtain all solutions and then determine how many of these solutions are stable according to the mean-square-stability criterion (Costa, Fragoso, and Marques (2005) and Farmer, Waggoner, and Zha (2009)).”
Multi-period mean-variance portfolio optimization with markov switching parameters (2008, methodology): “…oswaldo@lac.usp.br (O.L.V. Costa), michael_araujo@hotmail.com (M.V. Araujo). problem was also analyzed from a geometric point of view in Leippold, Trojani, and Vanini (2004), for the case with intermediate restrictions in Costa and Nabholz (2007), for the continuous-time case in Zhou and Li…”
Bayesian Nonparametric Inference of Switching Dynamic Linear Models (2010, methodology): “We describe th sampler in terms of the pseudo-observationsψt, as defined by Eq.”
Perturbation Methods for Markov-Switching DSGE Models (2014, positive): “For example, Gröbner bases have been successfully applied by Kubler and Schmedders (2010a) and Kubler and Schmedders (2010b) to find multiple equilibria in general equilibrium models; Datta (2010) uses such bases to find all the Nash equilibria.”