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A Viscosity Solution Method for Optimal Stopping Problems with Regime Switching
Acta Applicandae Mathematicae ( IF 1.2 ) Pub Date : 2020-08-06 , DOI: 10.1007/s10440-020-00353-7
Yong-Chao Zhang , Na Zhang

We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. To be specific, we show the viscosity property of value functions with the help of dynamic programming, and more importantly, provide a mild and verifiable condition and an available bound that both can guarantee the uniqueness of viscosity solutions.



中文翻译:

区域切换最优停止问题的粘性求解方法

我们采用粘度解决方案技术来分析状态切换的最佳停止问题。具体来说,我们借助动态编程来显示值函数的粘度属性,更重要的是,提供温和且可验证的条件以及可用的界线,两者均可以保证粘度溶液的唯一性。

更新日期:2020-08-06
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