Embedding techniques for Markov chains seek to determine when a discrete‐time transition matrix can be realised as the matrix exponential of a continuous‐time generator. This embedding problem lies at ...

Discover how Markov Analysis predicts future states from current data, understand its strengths and weaknesses, and explore its application in finance and business.

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 ...