Discretely observed Brownian motion governed by telegraph process: estimation

DOI10.1007/S11009-017-9547-6MaRDI QIDQ2283680zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 13 January 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-017-9547-6

zbMATH Keywords

dynamic programminghidden Markov modellikelihood estimationMarkov process

Mathematics Subject Classification ID

Brownian motion (60J65) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Dynamic programming (90C39)

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Cites work

• First-exit times for increasing compound processes
• Generalized integrated telegraph processes and the distribution of related stopping times
• scientific article; zbMATH DE number 3143222 (Why is no real title available?)
• Inference in hidden Markov models.
• Mathematical and statistical methods for actuarial sciences and finance
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• On prices' evolutions based on geometric telegrapher's process
• Probability law and flow function of Brownian motion driven by a generalized telegraph process
• Simulation of first-passage times for alternating Brownian motions
• Telegraph processes and option pricing
• Telegraph processes with random velocities
• Theoretical Considerations of Routine Maintenance

Cited in

(9)

• On estimation for Brownian motion governed by telegraph process with multiple off states
• On occupation time for on-off processes with multiple off-states
• Probability law and flow function of Brownian motion driven by a generalized telegraph process
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Estimation of regime-switching diffusions via Fourier transforms
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Optimal refinancing strategy for mortgage rate with regime switching
• Pricing CDS index tranches under thinning-dependence structure with regime switching
• A generalized contagion credit risk model with application in pricing CDS index tranche

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