Optimal stopping problems with regime switching: a viscosity solution method

2014/04/13 by Yongchao Zhang, Yong-Chao Zhang, Na Zhang +2
Economics, Econometrics and Finance · Engineering · Mathematics · #60G40 #60H30 #62L15 #FOS: Mathematics #Nonlinear Differential Equations Analysis #Optimization and Control (math.OC) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #math.OC #msc:60G40 #msc:60H30 #msc:62L15

paper · pdf · doi:10.48550/arxiv.1404.3372

29 pages, 1 figure

openalex publication_date 2014/04/13 · arxiv created 2015/12/24 · arxiv updated 2015/12/25 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

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.

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