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Document type:
Zeitschriftenaufsatz 
Author(s):
Hieber, P. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process 
Abstract:
Guo (2001a) derived the Laplace transform of the first-passage time in a 2-state Markov-switching model and gave one of the pioneering works improving the analytical tractability of Markov-switching models. However, the Laplace transforms in her paper are wrong. This short note provides the correct expression and an alternative proof using the matrix Wiener-Hopf technique. 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Methodology and Computing in Applied Probability 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Journal volume:
16 
Journal issue:
Pages contribution:
771-776 
Reviewed:
nein 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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