Optimal stopping problem for jump-diffusion processes with regime-switching
DOI10.1016/J.NAHS.2021.101029zbMATH Open1489.60065OpenAlexW3135901124MaRDI QIDQ2665293FDOQ2665293
Authors: Jinghai Shao, Taoran Tian 
Publication date: 19 November 2021
Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nahs.2021.101029
Recommendations
- Optimal stopping problem associated with jump-diffusion processes
- Regularity of the optimal stopping problem for jump diffusions
- On optimal stopping of risk processes with regime switching
- An explicit solution to an optimal stopping problem with regime switching
- A finite time horizon optimal stopping problem with regime switching
- Optimal stopping for a diffusion with jumps
- A viscosity solution method for optimal stopping problems with regime switching
- Optimal stopping for dynamic risk measures with jumps and obstacle problems
Diffusion processes (60J60) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27)
Cites Work
- Hybrid switching diffusions. Properties and applications
- Title not available (Why is that?)
- User’s guide to viscosity solutions of second order partial differential equations
- On optimal harvesting problems in random environments
- Information and option pricings
- Criteria for transience and recurrence of regime-switching diffusion processes
- On singular control problems with state constraints and regime-switching: a viscosity solution approach
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Title not available (Why is that?)
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Optimal stopping and perpetual options for Lévy processes
- Optimal stopping for a diffusion with jumps
- The maximum principle for semicontinuous functions
- Optimal stopping of switching diffusions with state dependent switching rates
- Optimal stopping of Markov switching Lévy processes
- Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case
Cited In (5)
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions}
- Optimal stopping time on semi-Markov processes with finite horizon
- An optimal stopping problem for jump diffusion logistic population model
- From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
This page was built for publication: Optimal stopping problem for jump-diffusion processes with regime-switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2665293)
