Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

DOI10.3934/DCDSB.2017003zbMATH Open1409.62212OpenAlexW2560508498MaRDI QIDQ523969FDOQ523969

Robert J. Elliott, Tak Kuen Siu

Publication date: 25 April 2017

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2017003

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zbMATH Keywords

hidden Markov modelsfilteringstochastic volatilityconditional sub-linear expectationsdrift and volatility uncertaintiesmodified reference probability approach

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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Cited In (2)

• Backward stochastic differential equations with regime-switching and sublinear expectations
• ADOPTION OF VIBRATION OF FUZZY PARTIAL FRACTIONAL-ORDER EQUATION IN MONITORING OF NOISE BIG DATA UNDER INFINITE IMPULSE RESPONSE DIGITAL FILTER ALGORITHM

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