Mogens Bladt

Statistical Inference for Discretely Observed Markov Jump Processes

Mogens Bladt, Michael Sørensen · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2005 · 153 citations

Stochastic Hybrid System, Markov Chains, Engineering +11

An actuarial approach to option pricing under the physical measure and without market assumptions

Mogens Bladt, Tina Hviid Rydberg · Insurance Mathematics and Economics · 1998 · 81 citations

Option Pricing, Asset Pricing, Physical Measure +8

The estimation of phase-type related functionals using Markov chain Monte Carlo methods

Mogens Bladt, Antonio G. González, Steffen L. Lauritzen · Scandinavian Actuarial Journal · 2003 · 59 citations

Engineering, Posterior Distribution, Uncertainty Quantification +12

Matrix‐Exponential Distributions: Calculus and Interpretations via Flows

Mogens Bladt, Marcel F. Neuts · Stochastic Models · 2003 · 58 citations

Engineering, Stochastic Analysis, Stochastic Phenomenon +18

Simple simulation of diffusion bridges with application to likelihood inference for diffusions

Mogens Bladt, Michael Sørensen · Bernoulli · 2014 · 55 citations · Full text