A viscosity solution method for optimal stopping problems with regime switching. (English) Zbl 1468.60052
Summary: 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.
MSC:
| 60G40 | Stopping times; optimal stopping problems; gambling theory |
| 62L15 | Optimal stopping in statistics |
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
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