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A Viscosity Solution Method for Optimal Stopping Problems with Regime Switching

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Abstract

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.

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Acknowledgements

Many thanks are due to the editors and reviewers for their constructive suggestions and valuable comments. This work is partially supported by the Fundamental Research Funds for the Central Universities (Grant Nos. N142303010, N172304040 and N2023034).

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Authors and Affiliations

  1. School of Mathematics and Statistics, Northeastern University at Qinhuangdao, Qinhuangdao, 066004, China

    Yong-Chao Zhang

  2. School of Mathematical Sciences, Nankai University, Tianjin, 300071, China

    Na Zhang

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  1. Yong-Chao Zhang
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  2. Na Zhang
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Correspondence to Na Zhang.

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Zhang, YC., Zhang, N. A Viscosity Solution Method for Optimal Stopping Problems with Regime Switching. Acta Appl Math 170, 677–689 (2020). https://doi.org/10.1007/s10440-020-00353-7

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