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Methodology and Computing in Applied Probability

, Volume 16, Issue 3, pp 771–776 | Cite as

A Correction Note on: When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process

  • Peter HieberEmail author
Article

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.

Keywords

Markov switching Regime switching First-passage time Laplace transform 

AMS 2000 Subject Classifications

60J27 60G40 44A10 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.Lehrstuhl für Finanzmathematik (M13)Technische Universität MünchenGarching-HochbrückGermany

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