Brandejsky, Adrien; de Saporta, Benoîte; Dufour, François - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3201-3238
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of the partially observed optimal stopping problem. Then,...
