Optimal stopping of switching diffusions with state dependent switching rates (Q2804561)
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scientific article; zbMATH DE number 6577679
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| English | Optimal stopping of switching diffusions with state dependent switching rates |
scientific article; zbMATH DE number 6577679 |
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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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0.8422760963439941
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0.8253525495529175
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0.8240139484405518
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0.8176007270812988
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0.8172805309295654
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