Filtering a Markov Modulated Random Measure
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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) Signal detection and filtering (aspects of stochastic processes) (60G35)
Cited in
(16)- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- Median filtering of random processes
- A filtering technique for Markov chains with applications to spectral embedding
- Joint filtering of components of random sequences
- Optimal reinsurance and investment with unobservable claim size and intensity
- Filtered statistical models and Hellinger processes
- Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Filtered probability
- How might model uncertainty and transaction costs impact retained earning \& dividend strategies? An examination through a classical insurance risk model
- Pricing defaultable bonds in a Markov modulated market
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal investment and consumption strategies for pooled annuity with partial information
- Lower and upper pricing of financial assets
- An HMM approach for optimal investment of an insurer
- Filtering with marked point process observations via Poisson chaos expansion
- On intensities of perturbed random measures on Hausdorff spaces
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