马尔可夫切换lsamvy过程的最优停止

Pub Date : 2014-03-04 DOI:10.1080/17442508.2013.797422
M. Pemy
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引用次数: 13

摘要

我们考虑一个有限的时间范围的最优停止状态切换lsamvy过程。证明了最优停止问题的值函数可以表征为相关Hamilton-Jacobi-Bellman变分不等式的唯一粘性解。
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Optimal stopping of Markov switching Lévy processes
We consider a finite time horizon optimal stopping of a regime-switching Lévy 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.
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