Optimal stopping problems with regime switching: a viscosity solution method
Optimization and Control
2015-12-25 v3
Abstract
We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value functions and the form of optimal stopping intervals. Finally, we provide an application of the results.
Keywords
Cite
@article{arxiv.1404.3372,
title = {Optimal stopping problems with regime switching: a viscosity solution method},
author = {Yong-Chao Zhang and Na Zhang},
journal= {arXiv preprint arXiv:1404.3372},
year = {2015}
}
Comments
29 pages, 1 figure