We study finite horizon optimal switching problems for hidden Markov chain models with point process observations. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state variable using Bayesian updates over the discrete observations. Such a...

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional diffusion with correlated noise. Such models where the...

We consider an optimal reinsurance strategy in which the insurance company (1) monitors the dynamics of its surplus process, (2) optimally chooses a time to begin negotiating with a reinsurer to buy quota-share, or proportional, reinsurance, which introduces an implementation delay (denoted by...