A viscosity solution method for optimal stopping problems with regime switching

DOI10.1007/S10440-020-00353-7zbMATH Open1468.60052OpenAlexW3048085123MaRDI QIDQ829599FDOQ829599

Authors: 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

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zbMATH Keywords

regime switchingdynamic programmingoptimal stoppingviscosity solution

Mathematics Subject Classification ID

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

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Cited In (4)

• Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Optimal stopping of Markov switching Lévy processes
• Optimal stopping problem for jump-diffusion processes with regime-switching

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