Hidden Markov Chain Filtering for a Jump Diffusion Model

DOI10.1081/SAP-200044465zbMath1078.93067MaRDI QIDQ4678751

Ping Wu, Robert J. Elliott

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Markov chainmartingalefiltering equationsreference probabilityjump diffusion model

Mathematics Subject Classification ID

Related Items (1)

An HMM approach for optimal investment of an insurer

Cites Work

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• Erratum: Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Parameter estimation for Markov modulated poisson processes
• Option pricing when underlying stock returns are discontinuous

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