Discounted optimal stopping problems in continuous hidden Markov models
DOI10.1080/17442508.2021.1935952zbMath1503.60049OpenAlexW3172899658MaRDI QIDQ5086908
Publication date: 8 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2021.1935952
continuous-time Markov chaintwo-dimensional diffusion processchange-of-variable formula with local time on surfacesparabolic-type free-boundary problemfiltering estimate (Wonham filter)generalized geometric Brownian motiondiscounted optimal stopping problemperpetual commodity equities and defaultable bonds
Computational methods in Markov chains (60J22) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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