Closed-form solutions to stochastic process switching problems

DOI10.1016/J.JMATECO.2007.09.002MaRDI QIDQ952681zbMATH OpenOpenAlexFDO

Authors Pascal François, Erwan Morellec

Publication date 13 November 2008

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2007.09.002

zbMATH Keywords

stochastic process switchingstate-dependent switchinfra-marginal switchirreversible switch

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• A Model of Stochastic Process Switching
• Brownian Excursions and Parisian Barrier Options
• Distributions of occupation times of Brownian motion with drift
• Exchange rate regime credibility, the agency cost of capital and devaluation.
• Martingales and arbitrage in multiperiod securities markets
• Optimal Investment with Costly Reversibility
• Solution to a Problem of Stochastic Process Switching
• Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
• Stochastic Process Switching: Some Simple Solutions
• Super contact and related optimality conditions
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

Cited in

(4)

• Transition probabilities in a problem of stochastic process switching
• Stochastic Process Switching: Some Simple Solutions
• Solution to a Problem of Stochastic Process Switching
• Another method for solving the problem of stochastic process switching

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