Optimal stopping problem for jump-diffusion processes with regime-switching

DOI10.1016/j.nahs.2021.101029zbMath1489.60065OpenAlexW3135901124MaRDI QIDQ2665293

Jing Hai Shao, Taoran Tian

Publication date: 19 November 2021

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2021.101029

zbMATH Keywords

jump-diffusion processesoptimal stopping problemregime-switching

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)

Related Items (3)

Optimal stopping time on semi-Markov processes with finite horizon ⋮ From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes ⋮ Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions}

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