New finite-dimensional filters and smoothers for noisily observed Markov chains
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Publication:4034466
DOI10.1109/18.179372zbMATH Open0779.93093OpenAlexW2055319722MaRDI QIDQ4034466FDOQ4034466
Authors: Robert J. Elliott 
Publication date: 16 May 1993
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.179372
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- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
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- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- INVESTMENT TIMING UNDER REGIME SWITCHING
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
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