Optimal stopping zero-sum games in continuous hidden Markov models
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change-of-variable formulacontinuous-time Markov chaindiffusion processfiltering estimatefree-boundary problemgeometric Brownian motionmean-reverting bounded dividend ratenonlinear Fredholm integral equationsoptimal stoppingperpetual redeemable convertible bondprobabilistic regularitystochastic boundarieszero-sum game
Free boundary problems for PDEs (35R35) Fredholm integral equations (45B99) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28) Diffusion processes (60J60) Brownian motion (60J65) Inference from stochastic processes and prediction (62M20) Probabilistic games; gambling (91A60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
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