EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729): Difference between revisions

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+Risk theory in a Markovian environment
@@ Property / cites work: Risk theory in a Markovian environment / rank @@
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+Point processes and queues. Martingale dynamics
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+Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
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+New finite-dimensional filters and smoothers for noisily observed Markov chains
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+Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes
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+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
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+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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+Time discretization of continuous-time filters and smoothers for HMM parameter estimation
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+A hidden Markov model of credit quality
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+Hidden Markov models in finance
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+Hidden Markov models in finance. Further developments and applications. Volume II
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+Portfolio optimization with unobservable Markov-modulated drift process
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+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
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+Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
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