Closed-form solutions to stochastic process switching problems

DOI10.1016/j.jmateco.2007.09.002zbMath1154.91018OpenAlexW2059582215MaRDI QIDQ952681

Pascal François, Erwan Morellec

Publication date: 13 November 2008

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2007.09.002

zbMATH Keywords

stochastic process switchingstate-dependent switchinfra-marginal switchirreversible switch

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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