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

Peter Hieber ()
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Peter Hieber: Technische Universität München

Methodology and Computing in Applied Probability, 2014, vol. 16, issue 3, 771-776

Abstract: 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; 60J27; 60G40; 44A10 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11009-013-9355-6

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