An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis
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DOI: 10.1080/07362994.2017.1339613
Abstract: ABSTRACT We establish an integration by parts formula for the random functionals of a continuous-time Markov chain, based on partial differentiation with respect to jump times. In comparison with existing methods, our approach does not… read more here.
Keywords: integration parts; markovian regime; regime switching; parts formula ... See more keywords