Optimal stopping of switching diffusions with state dependent switching rates
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)
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