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Coupling and tracking of regime-switching martingales
File(s)
38.pdf (512.9 KB)
Published version
Author(s)
Jacka, SD
Mijatovic, A
Type
Journal Article
Date Issued
2015-04-01
Date Acceptance
2015-03-16
Citation
Electronic Journal of Probability, 2015, 20, pp.1-39
URI
DOI
ISSN
1083-6489
Publisher
Institute of Mathematical Statistics (IMS)
Start Page
1
End Page
39
Journal / Book Title
Electronic Journal of Probability
Volume
20
Copyright Statement
© 2015 The Authors
This work is licensed under a Creative Commons Attribution 3.0 License.
Copyright URL
Identifier
ARTN 38
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
generalised mirror and synchronous coupling of Brownian motion
coupling time and tracking error of regime-switching martingales
Bellman principle
continuous-time Markov chains
stochastic integrals
Publication Status
Published
Article Number
ARTN 38