New finite-dimensional filters and smoothers for noisily observed Markov chains
From MaRDI portal
Publication:4034466
DOI10.1109/18.179372zbMath0779.93093MaRDI QIDQ4034466
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
93E03: Stochastic systems in control theory (general)
Related Items
Hidden Markov Chain Filtering for a Jump Diffusion Model, Optimal investment under dynamic risk constraints and partial information, Long-term strategic asset allocation with inflation risk and regime switching, Some applications ofM-ary detection in quantitative finance, INVESTMENT TIMING UNDER REGIME SWITCHING, Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises, Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains, PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS, Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market, Optimal portfolio policies under bounded expected loss and partial information, The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model, Pricing credit derivatives under incomplete information: a nonlinear-filtering approach, Modeling default data via an interactive hidden Markov model, Option pricing for pure jump processes with Markov switching compensators, Robust parameter estimation for asset price models with Markov modulated volatilities, A high-order Markov-switching model for risk measurement, Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows, Utility maximization with convex constraints and partial information, Optimal consumption and investment under partial information, Option pricing when the regime-switching risk is priced, Estimating the implicit interest rate of a risky asset, How to count and guess well: Discrete adaptive filters, Exact adaptive filters for Markov chains observed in Gaussian noise, Filters for estimating Markov modulated Poisson processes and image-based tracking, Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process, Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model, A BSDE approach to risk-based asset allocation of pension funds with regime switching, An expectation maximization algorithm to model failure times by continuous-time Markov chains, Unilateral counterparty risk valuation of CDS using a regime-switching intensity model, COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES, On Markov‐modulated Exponential‐affine Bond Price Formulae, Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
