Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

DOI10.1016/J.NAHS.2019.08.001MaRDI QIDQ2304045zbMATH OpenOpenAlexWikidataFDO

Authors Stefanie Grimm, Christina Erlwein-Sayer, Rogemar Mamon

Publication date 6 March 2020

Published in Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nahs.2019.08.001

zbMATH Keywords

change of probability measurefilteringparameter estimationregime-switching modelyield rate

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Filtering in stochastic control theory (93E11)

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Cited in

(7)

• Bond pricing formulas for Markov-modulated affine term structure models
• On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
• The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
• Use of approximate discrete-time models in filtering and regulation of continuous-time processes
• Filtering a Double Threshold Model With Regime Switching
• PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
• Quantized feedback stabilization of continuous-time Markov jump systems under asynchronous control

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