Discounted optimal stopping problems in continuous hidden Markov models
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Publication:5086908
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
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- The right time to sell a stock whose price is driven by Markovian noise
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