New finite-dimensional filters and smoothers for noisily observed Markov chains
From MaRDI portal
Publication:4034466
DOI10.1109/18.179372zbMath0779.93093OpenAlexW2055319722MaRDI QIDQ4034466
Publication date: 16 May 1993
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.179372
Related Items (46)
On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model ⋮ How to count and guess well: Discrete adaptive filters ⋮ Exact adaptive filters for Markov chains observed in Gaussian noise ⋮ Modeling default data via an interactive hidden Markov model ⋮ Signal-to-noise matrix and model reduction in continuous-time hidden Markov models ⋮ Option pricing for pure jump processes with Markov switching compensators ⋮ Filters for estimating Markov modulated Poisson processes and image-based tracking ⋮ Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model ⋮ Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model ⋮ Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process ⋮ COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES ⋮ Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model ⋮ EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies ⋮ Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ A BSDE approach to risk-based asset allocation of pension funds with regime switching ⋮ The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model ⋮ Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models ⋮ An expectation maximization algorithm to model failure times by continuous-time Markov chains ⋮ Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ Unilateral counterparty risk valuation of CDS using a regime-switching intensity model ⋮ Bilateral counterparty risk valuation on a CDS with a common shock model ⋮ Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes ⋮ PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS ⋮ Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market ⋮ Optimal convergence trading with unobservable pricing errors ⋮ Robust parameter estimation for asset price models with Markov modulated volatilities ⋮ Optimal investment under dynamic risk constraints and partial information ⋮ Long-term strategic asset allocation with inflation risk and regime switching ⋮ Regime-switching shot-noise processes and longevity bond pricing ⋮ Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises ⋮ A contagion model with Markov regime-switching intensities ⋮ A high-order Markov-switching model for risk measurement ⋮ Hidden Markov Chain Filtering for a Jump Diffusion Model ⋮ Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows ⋮ Some applications ofM-ary detection in quantitative finance ⋮ INVESTMENT TIMING UNDER REGIME SWITCHING ⋮ Utility maximization with convex constraints and partial information ⋮ Optimal portfolio policies under bounded expected loss and partial information ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation ⋮ Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains ⋮ On Markov‐modulated Exponential‐affine Bond Price Formulae ⋮ Optimal consumption and investment under partial information ⋮ Option pricing when the regime-switching risk is priced ⋮ Estimating the implicit interest rate of a risky asset
This page was built for publication: New finite-dimensional filters and smoothers for noisily observed Markov chains