Dividend maximization in a hidden Markov switching model
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Publication:293597
DOI10.1515/strm-2015-0019zbMath1408.91107arXiv1602.04656OpenAlexW3126137325MaRDI QIDQ293597
Publication date: 9 June 2016
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.04656
stochastic optimal controlhidden Markov modelviscosity solutionsdividend maximizationfiltering theory
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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