48 citations · 357 across the 28 of their papers we have counts for
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math.PR2014★ 3 cited
Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
Nicole Bäuerle, Igor Gilitschenski, Uwe D. Hanebeck
We consider a Hidden Markov Model (HMM) where the integrated continuous-time Markov chain can be observed at discrete time points perturbed by a Brownian motion. The aim is to deri…
q-fin.PR2014★ 13 cited
Gas Storage valuation with regime switching
Nicole Bäuerle, Viola Riess
In this paper we treat a gas storage valuation problem as a Markov Decision Process. As opposed to existing literature we model the gas price process as a regime-switching model. S…