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Tag: mjls
20 items with this tag.
Apr 13, 2026
The asset-pricing no-bubble condition for regime-switching CRE models reduces to a finite spectral-radius test
no-bubble
transversality
spectral-radius
regime-switching
mjls
perron-frobenius
cre-pricing
Apr 13, 2026
Bond and dividend-strip prices in regime-switching affine models admit closed-form Riccati recursions conditional on a regime path
riccati
regime-switching
asset-pricing
exponential-affine
cre-pricing
mjls
Apr 13, 2026
MJLS mean square stability is equivalent to T-operator spectral radius being less than one
mjls
stability
riccati
lyapunov
Apr 13, 2026
The optimal nonlinear filter for an MJLS with unobserved mode has memory and computation that grow exponentially in time
mjls
filtering
kalman
particle-filter
complexity
Apr 13, 2026
Risk-sensitive optimal control for MJLS has no closed-form Riccati solution and is not equivalent to H-infinity control
mjls
risk-sensitive-control
h-infinity
impossibility-result
optimal-control
Apr 13, 2026
Coupled Algebraic Riccati Equation
mjls
riccati
optimal-control
filtering
lqr
lqg
Apr 13, 2026
Coupled Riccati Recursions for Regime-Switching Asset Pricing
riccati
regime-switching
asset-pricing
exponential-affine
mjls
cre-pricing
Apr 13, 2026
Markov Jump Linear System
mjls
control
filtering
stability
riccati
Apr 13, 2026
Mean Square Stability via T-Operator Spectral Radius
mjls
stability
lyapunov
spectral-radius
Apr 13, 2026
Risk-Sensitive MJLS Impossibility Result
mjls
risk-sensitive-control
h-infinity
impossibility-result
optimal-control
hjb
Apr 13, 2026
Spectral Radius Test for Markov Pricing Operator (Asset-Pricing No-Bubble Condition)
no-bubble
transversality
spectral-radius
regime-switching
mjls
perron-frobenius
cre-pricing
Apr 13, 2026
MJLS-aware RBPF variance reduction exploiting mode-known Kalman structure
rbpf
particle-filter
mjls
variance-reduction
common-random-numbers
imm
importance-sampling
Apr 13, 2026
Discrete-Time Markov Jump Linear Systems
mjls
optimal-control
filtering
riccati
stability
h-infinity
textbook
Apr 13, 2026
Risk-Sensitive Control of Markov Jump Linear Systems
mjls
risk-sensitive-control
h-infinity
impossibility-result
optimal-control
Apr 13, 2026
david-leather
commercial-real-estate
asset-pricing
regime-switching
monetary-policy
dsge
mjls
term-structure
Apr 13, 2026
jun-moon
control-theory
risk-sensitive-control
mjls
stochastic-control
optimal-control
Apr 13, 2026
marcelo-fragoso
mjls
control
filtering
riccati
stochastic-systems
Apr 13, 2026
oswaldo-costa
mjls
control
filtering
riccati
stochastic-systems
Apr 13, 2026
ricardo-marques
mjls
control
filtering
riccati
Apr 13, 2026
Markov Jump Linear Systems: Control and Filtering
mjls
optimal-control
riccati
stability
filtering
h-infinity
risk-sensitive