Optimal stopping of switching diffusions with state dependent switching rates (Q2804561): Difference between revisions
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Revision as of 08:35, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping of switching diffusions with state dependent switching rates |
scientific article |
Statements
Optimal stopping of switching diffusions with state dependent switching rates (English)
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4 May 2016
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optimal stopping problem
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switching diffusions
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Hamilton-Jacobi-Bellman equation
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dynamic programming
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viscosity solution
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variational inequalities
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perpetual American put options
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