Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

DOI10.3934/dcdsb.2017003zbMath1409.62212OpenAlexW2560508498MaRDI QIDQ523969

Robert J. Elliott, Tak Kuen Siu

Publication date: 25 April 2017

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2017003

zbMATH Keywords

stochastic volatilityfilteringhidden Markov modelsconditional sub-linear expectationsdrift and volatility uncertaintiesmodified reference probability approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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