Optimal stopping of switching diffusions with state dependent switching rates
DOI10.1080/17442508.2015.1110152zbMATH Open1337.60075OpenAlexW2275857966MaRDI QIDQ2804561FDOQ2804561
Authors: R. H. Liu 
Publication date: 4 May 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2015.1110152
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dynamic programmingHamilton-Jacobi-Bellman equationoptimal stopping problemvariational inequalitiesviscosity solutionswitching diffusionsperpetual American put options
Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Dynamic programming (90C39) 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) Financial applications of other theories (91G80)
Cites Work
- Hybrid switching diffusions. Properties and applications
- User’s guide to viscosity solutions of second order partial differential equations
- Stock trading: an optimal selling rule
- Optimal selling rules in a regime switching model
- Option pricing and Esscher transform under regime switching
- European Option Pricing with Transaction Costs
- Numerical Methods for Stochastic Singular Control Problems
- An explicit solution to an optimal stopping problem with regime switching
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Regime-switching recombining tree for option pricing
Cited In (11)
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- A viscosity solution method for optimal stopping problems with regime switching
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
- Properties of switching jump diffusions: maximum principles and Harnack inequalities
- Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
- Optimal investment decision under switching regimes of subsidy support
- A finite time horizon optimal stopping problem with regime switching
- Fishery management in a regime switching environment: utility theory approach
- Optimal stopping problem for jump-diffusion processes with regime-switching
- Hybrid optimal impulse control
- From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
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