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Title:

First-passage times of regime switching models

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Fulltext / DOI:
doi:https://doi.org/10.1016/j.spl.2014.05.018
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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