A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process

Titel:: A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process
Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Hieber, P.
Nicht-TUM Koautoren:: nein
Kooperation:: -
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
Zeitschriftentitel:: Methodology and Computing in Applied Probability
Journal gelistet in FT50 Ranking:: nein
Jahr:: 2014
Band / Volume:: 16
Heft / Issue:: 3
Seitenangaben Beitrag:: 771-776
Reviewed:: nein
Sprache:: en
Volltext / DOI:: doi:https://doi.org/10.1007/s11009-013-9355-6
TUM Einrichtung:: Lehrstuhl für Finanzmathematik
Format:: Text
Urteilsbesprechung:: 0
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
commissioned:: not commissioned
Professional Journal:: Nein
Interdisziplinarität:: Nein
BibTeX

Versionen