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Non-identifiability of the two state Markovian Arrival process [PDF]

open access: yes
In this paper we consider the problem of identifiability of the two-state Markovian Arrival process (MAP2). In particular, we show that the MAP2 is not identifiable and conditions are given under which two different sets of parameters, induce identical ...
Michael P. Wiper   +2 more
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Finite dimensional Markovian realizations for stochastic volatility forward rate models [PDF]

open access: yes
We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process.
Björk, Tomas   +2 more
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