We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case[...]

We discuss a new class of applied probability models. There is a system whose evolution is described by a Markov chain with known transition matrix in a discrete state sp[...]

This dissertation contains several new results concerning Moser-type optimal stopping problems. In the simplest case we consider sequence of independent uniformly distrib[...]

The purpose of my research is the study of <&ldquo>Loop<&rdquo> Markov Chains. This model contains several loops, which could be connected at several [...]