A viscosity solution method for optimal stopping problems with regime switching

DOI10.1007/S10440-020-00353-7MaRDI QIDQ829599zbMATH OpenOpenAlexFDO

Authors Yong-Chao Zhang, Na Zhang

Publication date 6 May 2021

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-020-00353-7

zbMATH Keywords

regime switchingdynamic programmingoptimal stoppingviscosity solution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stopping in statistics (62L15)

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Cites work

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Cited in

(4)

• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Optimal stopping of Markov switching Lévy processes
• Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
• Optimal stopping problem for jump-diffusion processes with regime-switching

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