Stochastic volatility with regime switching and uncertain noise: Filtering with sub-linear expectations
Copyright policy )Stochastic volatility with regime switching and uncertain noise: Filtering with sub-linear expectations
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- University of South Australia Australia
- University of Calgary Canada
- Macquarie University Australia
- University of Adelaide Australia
Applications of statistics to actuarial sciences and financial mathematics, Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.), drift and volatility uncertainties, hidden Markov models, conditional sub-linear expectations, modified reference probability approach, stochastic volatility, filtering, Inference from stochastic processes and prediction, Signal detection and filtering (aspects of stochastic processes)
Applications of statistics to actuarial sciences and financial mathematics, Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.), drift and volatility uncertainties, hidden Markov models, conditional sub-linear expectations, modified reference probability approach, stochastic volatility, filtering, Inference from stochastic processes and prediction, Signal detection and filtering (aspects of stochastic processes)
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