Optimal stopping problem for jump-diffusion processes with regime-switching

DOI10.1016/J.NAHS.2021.101029MaRDI QIDQ2665293zbMATHOpenAlexFDO

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

zbMATH Keywords

regime-switchingoptimal stopping problemjump-diffusion processes

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1147065 (Why is no real title available?)
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• Criteria for transience and recurrence of regime-switching diffusion processes
• Hybrid switching diffusions. Properties and applications
• Information and option pricings
• On optimal harvesting problems in random environments
• On singular control problems with state constraints and regime-switching: a viscosity solution approach
• Optimal stopping and perpetual options for Lévy processes
• Optimal stopping for a diffusion with jumps
• Optimal stopping of Markov switching Lévy processes
• Optimal stopping of switching diffusions with state dependent switching rates
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Stabilization of regime-switching processes by feedback control based on discrete time observations. II: State-dependent case
• The maximum principle for semicontinuous functions
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(11)

• Optimal stopping of switching diffusions with state dependent switching rates
• An optimal stopping problem for jump diffusion logistic population model
• A viscosity solution method for optimal stopping problems with regime switching
• From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
• Optimal stopping of Markov switching Lévy processes
• Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
• A class of solvable optimal stopping problems of spectrally negative jump diffusions
• Stochastic control problem with stopping time under jump-diffusion model
• Optimal stopping problem associated with jump-diffusion processes
• Optimal stopping time on semi-Markov processes with finite horizon
• Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions}

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