A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process

DOI10.1007/S11009-013-9355-6zbMath1303.60063OpenAlexW1976423482MaRDI QIDQ479189

Peter Hieber

Publication date: 5 December 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9355-6

zbMATH Keywords

Laplace transformregime switchingMarkov switchingfirst-passage time

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40) Laplace transform (44A10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (7)

First passage time and mean exit time for switching Brownian motion ⋮ Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ Ergodicity and first passage probability of regime-switching geometric Brownian motions ⋮ Some explicit expressions for GBM with Markovian switching and parameter estimations ⋮ Ultracontractivity for Brownian motion with Markov switching ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Some characterizations for Brownian motion with Markov switching

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