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

作者：Hieber Peter^*

来源：Methodology and Computing in Applied Probability, 2014, 16(3): 771-776.

DOI：10.1007/s11009-013-9355-6

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.

• 出版日期2014-9