Filtering a Markov Modulated Random Measure
From MaRDI portal
Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)
Cited in
(16)- Joint filtering of components of random sequences
- Filtered probability
- Filtered statistical models and Hellinger processes
- A filtering technique for Markov chains with applications to spectral embedding
- Lower and upper pricing of financial assets
- Optimal investment and consumption strategies for pooled annuity with partial information
- An HMM approach for optimal investment of an insurer
- Pricing defaultable bonds in a Markov modulated market
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- Filtering with marked point process observations via Poisson chaos expansion
- On intensities of perturbed random measures on Hausdorff spaces
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
- Optimal reinsurance and investment with unobservable claim size and intensity
- Median filtering of random processes
This page was built for publication: Filtering a Markov Modulated Random Measure
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4978658)
