Discounted optimal stopping problems in continuous hidden Markov models
From MaRDI portal
(Redirected from Publication:5086908)
change-of-variable formula with local time on surfacescontinuous-time Markov chaindiscounted optimal stopping problemfiltering estimate (Wonham filter)generalized geometric Brownian motionparabolic-type free-boundary problemperpetual commodity equities and defaultable bondstwo-dimensional diffusion process
Recommendations
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Optimal stopping of linear diffusions with random discounting
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
Cites work
- A change-of-variable formula with local time on curves
- A Change-of-Variable Formula with Local Time on Surfaces
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- AMERICAN OPTIONS WITH REGIME SWITCHING
- American-style derivatives. Valuation and computation.
- An explicit solution to an optimal stopping problem with regime switching
- Backward stochastic differential equations with reflection and Dynkin games
- Bayesian quickest detection problems for some diffusion processes
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Comparison of solutions of stochastic equations and applications
- Continuity of the optimal stopping boundary for two-dimensional diffusions
- Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
- Global C^1 regularity of the value function in optimal stopping problems
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 4020069 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1227086 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 1057570 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 3081880 (Why is no real title available?)
- Investment Timing Under Incomplete Information
- Monotonicity of the value function for a two-dimensional optimal stopping problem
- On optimal stopping and free boundary problems
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- ON THE AMERICAN OPTION PROBLEM
- On the sequential testing problem for some diffusion processes
- Optimal liquidation of an asset under drift uncertainty
- Optimal real-time detection of a drifting Brownian coordinate
- Optimal selling of an asset under incomplete information
- Optimal Stopping and the American Put
- Optimal stopping games in models with various information flows
- Option Pricing With Markov-Modulated Dynamics
- Pricing of perpetual American options in a model with partial information
- Quickest detection problems for Bessel processes
- Sequential testing problems for Bessel processes
- Stochastic differential equations. An introduction with applications.
- The pricing of the American option
- The right time to sell a stock whose price is driven by Markovian noise
- The Russian option: finite horizon
- The Term Structure of Interest Rates in a Hidden Markov Setting
- The Wiener disorder problem with finite horizon
- The Wiener Sequential Testing Problem with Finite Horizon
Cited in
(3)
This page was built for publication: Discounted optimal stopping problems in continuous hidden Markov models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086908)
