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

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:: 3
Pages contribution:: 771-776
Reviewed:: nein
Language:: en
Fulltext / DOI:: doi:https://doi.org/10.1007/s11009-013-9355-6
TUM Institution:: Lehrstuhl für Finanzmathematik
Format:: Text
Judgement review:: 0
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
Commissioned:: not commissioned
Professional Journal:: Nein
Interdisciplinarity:: Nein
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