A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process

Peter Hieber

doi:10.1007/s11009-013-9355-6

A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process

Peter Hieber

Chair of Mathematical Finance

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

Guo (Methodol Comput Appl Probab 3(2):135-143, 2001a) derived the Laplace transform of the first-passage time in a 2-state Markov-switching model and gave one of the pioneering works improving the analytical tractability of Markov-switching models. However, the Laplace transforms in her paper are wrong. This short note provides the correct expression and an alternative proof using the matrix Wiener-Hopf technique.

Original language	English
Pages (from-to)	771-776
Number of pages	6
Journal	Methodology and Computing in Applied Probability
Volume	16
Issue number	3
DOIs	https://doi.org/10.1007/s11009-013-9355-6
State	Published - Sep 2014

Keywords

First-passage time
Laplace transform
Markov switching
Regime switching

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10.1007/s11009-013-9355-6

Cite this

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AB - Guo (Methodol Comput Appl Probab 3(2):135-143, 2001a) derived the Laplace transform of the first-passage time in a 2-state Markov-switching model and gave one of the pioneering works improving the analytical tractability of Markov-switching models. However, the Laplace transforms in her paper are wrong. This short note provides the correct expression and an alternative proof using the matrix Wiener-Hopf technique.

KW - First-passage time

KW - Laplace transform

KW - Markov switching

KW - Regime switching

UR - https://www.scopus.com/pages/publications/84905242197

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A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process

Abstract

Keywords

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