Pages that link to "Item:Q4034466"
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The following pages link to New finite-dimensional filters and smoothers for noisily observed Markov chains (Q4034466):
Displayed 46 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- Modeling default data via an interactive hidden Markov model (Q846148) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Robust parameter estimation for asset price models with Markov modulated volatilities (Q951363) (← links)
- A high-order Markov-switching model for risk measurement (Q980081) (← links)
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362) (← links)
- Utility maximization with convex constraints and partial information (Q996765) (← links)
- Optimal consumption and investment under partial information (Q1029540) (← links)
- Option pricing when the regime-switching risk is priced (Q1036916) (← links)
- Estimating the implicit interest rate of a risky asset (Q1316597) (← links)
- How to count and guess well: Discrete adaptive filters (Q1330925) (← links)
- Exact adaptive filters for Markov chains observed in Gaussian noise (Q1337722) (← links)
- Filters for estimating Markov modulated Poisson processes and image-based tracking (Q1360456) (← links)
- Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process (Q1391289) (← links)
- EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
- A BSDE approach to risk-based asset allocation of pension funds with regime switching (Q1945100) (← links)
- An expectation maximization algorithm to model failure times by continuous-time Markov chains (Q1958812) (← links)
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models (Q2148921) (← links)
- Optimal convergence trading with unobservable pricing errors (Q2241060) (← links)
- Regime-switching shot-noise processes and longevity bond pricing (Q2257575) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES (Q3225032) (← links)
- On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727) (← links)
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273) (← links)
- Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes (Q4636358) (← links)
- Hidden Markov Chain Filtering for a Jump Diffusion Model (Q4678751) (← links)
- Optimal investment under dynamic risk constraints and partial information (Q4911229) (← links)
- Long-term strategic asset allocation with inflation risk and regime switching (Q4911230) (← links)
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465) (← links)
- DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS (Q5111484) (← links)
- Some applications of<i>M</i>-ary detection in quantitative finance (Q5189711) (← links)
- INVESTMENT TIMING UNDER REGIME SWITCHING (Q5193003) (← links)
- Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (Q5421608) (← links)
- Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains (Q5478917) (← links)
- PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS (Q5704733) (← links)
- Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market (Q5707906) (← links)
- Optimal portfolio policies under bounded expected loss and partial information (Q5962146) (← links)
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach (Q6107682) (← links)