We consider a robust control problem for a finite-state, finite-action Markov decision process, where uncertainty on the transition matrices is described in terms of possibly nonconvex sets. We show ...

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk ...

This paper proposes a hidden state Markov model (HMM) that incorporates workers’ unobserved labor market attachment into the analysis of labor market dynamics. Unlike previous literature, which ...

This article reviews Markov chain methods for sampling from the posterior distribution of a Dirichlet process mixture model and presents two new classes of methods. One new approach is to make ...

The core model consists of a hidden Markov chain with two volatility states: normal and excited. ... accurate, analytic method for calculating the swaption matrix from this model. With this procedure ...