Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.3934/DCDSB.2017003 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.3934/DCDSB.2017003 / rank | |||
Normal rank | |||
Latest revision as of 20:22, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations |
scientific article |
Statements
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (English)
0 references
25 April 2017
0 references
stochastic volatility
0 references
hidden Markov models
0 references
conditional sub-linear expectations
0 references
filtering
0 references
modified reference probability approach
0 references
drift and volatility uncertainties
0 references
0 references
0 references
0 references
