Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems

DOI10.1016/j.nahs.2024.101507zbMath1544.65029MaRDI QIDQ6581284

Xiaohang Ma, L. Y. Wang, Philip A. Ernst, Hongjiang Qian, Masoud H. Nazari, George Yin

Publication date: 30 July 2024

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

zbMATH Keywords

weak convergenceoptimal stoppingMarkov chain approximationswitching diffusions

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40)

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