Discretely observed Brownian motion governed by telegraph process: estimation

DOI10.1007/S11009-017-9547-6zbMath1434.62176OpenAlexW2585393924MaRDI QIDQ2283680

Yanyan Li

Publication date: 13 January 2020

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

Full work available at URL: https://doi.org/10.1007/s11009-017-9547-6

zbMATH Keywords

dynamic programminghidden Markov modelMarkov processlikelihood estimation

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Dynamic programming (90C39)

Related Items (2)

On estimation for Brownian motion governed by telegraph process with multiple off states ⋮ On occupation time for on-off processes with multiple off-states

Uses Software

• adehabitat
• move
• BBMM
• smam

Cites Work

• Unnamed Item
• Telegraph processes and option pricing
• Probability law and flow function of Brownian motion driven by a generalized telegraph process
• Simulation of first-passage times for alternating Brownian motions
• Inference in hidden Markov models.
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Theoretical Considerations of Routine Maintenance
• Telegraph processes with random velocities
• First-exit times for increasing compound processes
• On prices' evolutions based on geometric telegrapher's process
• Generalized integrated telegraph processes and the distribution of related stopping times
• Mathematical and Statistical Methods for Actuarial Sciences and Finance

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