Optimal stopping of Markov switching Lévy processes

DOI10.1080/17442508.2013.797422zbMath1306.60042OpenAlexW2090158052MaRDI QIDQ2875272

Moustapha Pemy

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.797422

zbMATH Keywords

optimal stoppingregime switchingMarkov chainLévy processviscosity solutionsHamilton-Jacobi-Bellman variational inequalities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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