Discounted optimal stopping problems in continuous hidden Markov models (Q5086908)
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scientific article; zbMATH DE number 7554288
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| English | Discounted optimal stopping problems in continuous hidden Markov models |
scientific article; zbMATH DE number 7554288 |
Statements
Discounted optimal stopping problems in continuous hidden Markov models (English)
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8 July 2022
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discounted optimal stopping problem
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generalized geometric Brownian motion
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continuous-time Markov chain
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filtering estimate (Wonham filter)
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two-dimensional diffusion process
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parabolic-type free-boundary problem
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change-of-variable formula with local time on surfaces
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perpetual commodity equities and defaultable bonds
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0.7984082102775574
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0.7936114072799683
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0.7923253178596497
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0.7906014323234558
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0.7809581160545349
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