Closed-form solutions to stochastic process switching problems

DOI10.1016/J.JMATECO.2007.09.002zbMATH Open1154.91018OpenAlexW2059582215MaRDI QIDQ952681FDOQ952681

Authors: Pascal François, Erwan Morellec 

Publication date: 13 November 2008

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2007.09.002

Recommendations

• Solution to a Problem of Stochastic Process Switching
• Stochastic Process Switching: Some Simple Solutions
• Another method for solving the problem of stochastic process switching
• Another method for solving the problem of stochastic process switching
• Transition probabilities in a problem of stochastic process switching
• On a stochastic process with switchings
• Ergodic problem for optimal stochastic switching
• Optimal switching for two-parameter stochastic processes

zbMATH Keywords

stochastic process switchingstate-dependent switchinfra-marginal switchirreversible switch

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• Title not available (Why is that?)
• Brownian Excursions and Parisian Barrier Options
• Title not available (Why is that?)
• Optimal Investment with Costly Reversibility
• Super contact and related optimality conditions
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• A Model of Stochastic Process Switching
• Stochastic Process Switching: Some Simple Solutions
• Solution to a Problem of Stochastic Process Switching
• Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
• Distributions of occupation times of Brownian motion with drift
• Exchange rate regime credibility, the agency cost of capital and devaluation.

Cited In (4)

• Transition probabilities in a problem of stochastic process switching
• Stochastic Process Switching: Some Simple Solutions
• Solution to a Problem of Stochastic Process Switching
• Another method for solving the problem of stochastic process switching

This page was built for publication: Closed-form solutions to stochastic process switching problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q952681)