Optimal stopping of switching diffusions with state dependent switching rates
dynamic programmingHamilton-Jacobi-Bellman equationoptimal stopping problemperpetual American put optionsswitching diffusionsvariational inequalitiesviscosity solution
Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
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