WU, PING; ELLIOTT, ROBERT J. - In: International Journal of Theoretical and Applied … 08 (2005) 06, pp. 791-806
In this paper we propose a type of mean reverting model with jumps, where the mean reverting level changes according to a continuous time, finite state Markov chain. This model could be applied to the interest rate and energy markets. We apply filtering techniques and obtain finite dimensional...