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

摘要

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 Markovswitching 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.