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Document type:
Zeitschriftenaufsatz 
Author(s):
Hieber, P. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
First-passage times of regime switching models 
Abstract:
The probability of a stochastic process to first breech an upper and/or a lower level is an important quantity for optimal control and risk management. We present those probabilities for regime switching Brownian motion. In the 2- and 3-state model, the Laplace transform of the (single and double barrier) first-passage times is – up to the roots of a polynomial – derived in closed-form by solving the matrix Wiener-Hopf factorization. This extends single barrier results in the 2-state model by Gu...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Statistics and Probability Letters 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Journal volume:
92 
Pages contribution:
148–157 
Reviewed:
nein 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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