Discounted optimal stopping problems in continuous hidden Markov models
DOI10.1080/17442508.2021.1935952zbMATH Open1503.60049OpenAlexW3172899658MaRDI QIDQ5086908FDOQ5086908
Authors: Pavel Gapeev 
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
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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) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
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