Optimal stopping of switching diffusions with state dependent switching rates

DOI10.1080/17442508.2015.1110152zbMath1337.60075OpenAlexW2275857966MaRDI QIDQ2804561

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Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1110152

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvariational inequalitiesdynamic programmingviscosity solutionoptimal stopping problemswitching diffusionsperpetual American put options

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (9)

Hybrid optimal impulse control ⋮ A viscosity solution method for optimal stopping problems with regime switching ⋮ Fishery management in a regime switching environment: utility theory approach ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Optimal stopping problem for jump-diffusion processes with regime-switching ⋮ Optimal investment decision under switching regimes of subsidy support ⋮ From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes ⋮ Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms ⋮ Properties of switching jump diffusions: maximum principles and Harnack inequalities

Cites Work

• Option pricing and Esscher transform under regime switching
• Hybrid switching diffusions. Properties and applications
• A lattice method for option pricing with two underlying assets in the regime-switching model
• Stock Trading: An Optimal Selling Rule
• An explicit solution to an optimal stopping problem with regime switching
• REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
• Numerical Methods for Stochastic Singular Control Problems
• User’s guide to viscosity solutions of second order partial differential equations
• European Option Pricing with Transaction Costs
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Optimal selling rules in a regime switching model

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