Optimal stopping problems with regime switching: a viscosity solution method
Yong-Chao Zhang, Na Zhang
TL;DR
This paper uses viscosity solution methods to analyze optimal stopping problems with regime switching, establishing key properties of the value functions and optimal stopping rules, and demonstrating an application.
Contribution
It introduces a viscosity solution framework for regime switching optimal stopping problems, proving uniqueness and regularity of solutions, and characterizing optimal stopping intervals.
Findings
Proved viscosity property of value functions.
Established uniqueness of viscosity solutions.
Characterized the form of optimal stopping intervals.
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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Taxonomy
TopicsStochastic processes and financial applications · Nonlinear Differential Equations Analysis · Stability and Controllability of Differential Equations