Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969)
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scientific article; zbMATH DE number 6707581
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| English | Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations |
scientific article; zbMATH DE number 6707581 |
Statements
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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0.7880764603614807
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0.7872969508171082
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0.7799151539802551
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0.7781298160552979
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0.7697411179542542
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