A viscosity solution method for optimal stopping problems with regime switching

DOI10.1007/s10440-020-00353-7zbMath1468.60052OpenAlexW3048085123MaRDI QIDQ829599

Yong-Chao Zhang, Na Zhang

Publication date: 6 May 2021

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-020-00353-7

zbMATH Keywords

dynamic programmingviscosity solutionoptimal stoppingregime switching

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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