most citedA Unified Framework for Pricing Credit and Equity Derivatives

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math.OC2007

Sequential Tracking of a Hidden Markov Chain Using Point Process Observations

Erhan Bayraktar, Mike Ludkovski

We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategie…

math.OC2007

An Analysis of Monotone Follower Problems for Diffusion Processes

Erhan Bayraktar, Masahiko Egami

We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness…