Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969)

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Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
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    Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (English)
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    25 April 2017
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    stochastic volatility
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    hidden Markov models
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    conditional sub-linear expectations
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    filtering
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    modified reference probability approach
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    drift and volatility uncertainties
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