IDEAS home Printed from https://ideas.repec.org/a/elt/journl/v79y2012i316p733-779.html
   My bibliography  Save this article

Toma de decisiones de agentes racionales con procesos markovianos. Avances recientes en economía y finanzas

Author

Listed:
  • Hernández, Onésimo

    (Centro de Investigación y Estudios Avanzados)

  • Venegas, Francisco

    (Instituto Politécnico Nacional)

Abstract

This research conducts a review of theoretical and practical developments of Markov processes in the specialized literature, highlighting their recent advances and showing their potential for their technical goodness, in modeling the decision making processes of rational agents adding more realistic dynamics of various economic and financial variables. In particular, the paper highlights several extensions and reformulations of Markov decision processes, stochastic games, stochastic optimal control with diffusion processes, Blackwell optimality for controlled diffusion processes, stochastic optimal control processes with diffusion processes and its combination with Poisson jumps; time series models with Markov chains, and Bayesian networks with Markov chains in conjuntion with Monte Carlo simulation (MCMC).// En esta investigación se revisa la evolución teórica y práctica de los procesos markovianos y se resalta su rápido avance y notorio potencial en el modelado de los procesos de toma de decisiones de agentes racionales. Dichos procesos han incorporado dinámicas más realistas en el comportamiento de diversas variables económicas y financieras que enriquecen el análisis en ambientes con riesgo e incertidumbre. Particularmente, se destaca diversas extensiones y reformulaciones de procesos markovianos de decisión, juegos estocásticos, optimalidad de Blackwell para procesos de difusión controlados, control óptimo estocástico con procesos de difusión y su combinación con saltos de Poisson, modelado de series de tiempo con cadenas de Markov y, por último, redes bayesianas con cadenas de Markov en conjunción con simulación Monte Carlo (MCMC).

Suggested Citation

  • Hernández, Onésimo & Venegas, Francisco, 2012. "Toma de decisiones de agentes racionales con procesos markovianos. Avances recientes en economía y finanzas," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(316), pages 733-779, octubre-d.
  • Handle: RePEc:elt:journl:v:79:y:2012:i:316:p:733-779
    DOI: http://dx.doi.org/10.20430/ete.v79i316.75
    as

    Download full text from publisher

    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/75/75
    Download Restriction: no

    File URL: https://libkey.io/http://dx.doi.org/10.20430/ete.v79i316.75?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. David Conaly Martínez Vázquez & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2021. "Proyección Markoviana para 2020 y 2021 de las Calificaciones Corporativas en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-21, Enero - M.
    2. David Conaly Martínez Vázquez & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2021. "Proyección Markoviana para 2020 y 2021 de las Calificaciones Corporativas en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-21, Enero - M.

    More about this item

    Keywords

    modelos de optimación; procesos markovianos; teoría de decisiones;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:elt:journl:v:79:y:2012:i:316:p:733-779. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nuria Pliego Vinageras (email available below). General contact details of provider: http://www.fondodeculturaeconomica.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.