Abstract
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 Markov-switching 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.
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Hieber, P. A Correction Note on: When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process. Methodol Comput Appl Probab 16, 771–776 (2014). https://doi.org/10.1007/s11009-013-9355-6
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DOI: https://doi.org/10.1007/s11009-013-9355-6