Optimal stopping of Markov switching Levy processes

被引：8

作者：

Pemy, Moustapha ^{[1
]}

机构：

[1] Towson Univ, Dept Math, Towson, MD 21252 USA

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2014年 / 86卷 / 02期

关键词：

Markov chain; regime switching; viscosity solutions; Levy process; optimal stopping; VISCOSITY SOLUTIONS;

D O I：

10.1080/17442508.2013.797422

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a finite time horizon optimal stopping of a regime-switching Levy process. We prove that the value function of the optimal stopping problem can be characterized as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman variational inequalities.

引用

页码：341 / 369

页数：29

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