马尔可夫切换lsamvy过程的最优停止

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-03-04 DOI:10.1080/17442508.2013.797422

M. Pemy

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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.