Estimation of regime-switching diffusions via Fourier transforms

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Cites work

A jump telegraph model for option pricing
An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
Discretely observed Brownian motion governed by telegraph process: estimation
Estimation for the discretely observed telegraph process
Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
How well does the finite Fourier transform approximate the Fourier transform?
scientific article; zbMATH DE number 796445 (Why is no real title available?)
Hybrid switching diffusions. Properties and applications
Information and option pricings
Mixture dynamics and regime switching diffusions with application to option pricing
New classes of exact solutions to general nonlinear equations and systems of equations in mathematical physics
Occupation times for two state Markov chains
Occupation times in markov processes
On estimation for Brownian motion governed by telegraph process with multiple off states
On parameter estimation of hidden telegraph process
On the solution of reaction-diffusion equations with double diffusivity
ON THE THEORY OF DIFFUSION IN MEDIA WITH DOUBLE DIFFUSIVITY I. BASIC MATHEMATICAL RESULTS
Optimal refinancing strategy for mortgage rate with regime switching
Option pricing in a regime-switching model using the fast Fourier transform
Option pricing under regime-switching models: novel approaches removing path-dependence
Stochastic Differential Equations with Markovian Switching
Telegraph processes and option pricing
Telegraph processes with random velocities

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