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Optimal Stopping Problem Associated with Jump-diffusion Processes

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Stochastic Analysis with Financial Applications

Part of the book series: Progress in Probability ((PRPR,volume 65))

Abstract

In this paper we study an optimal stopping problem associated with jump-diffusion processes. We use a viscosity solution approach for the solution to HJB equality, which the value function should obey. Using the penalty method we obtain the existence of the value function as a viscosity solution to the HJB equation, and the uniqueness.

Mathematics Subject Classification (2000). 60J25, 60J75.

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Author information

Authors and Affiliations

  1. Department of Mathematics Faculty of Science, Ehime University, 790 85 77, Matsuyama, Japan

    Yasushi Ishikawa

Authors
  1. Yasushi Ishikawa
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Corresponding author

Correspondence to Yasushi Ishikawa .

Editor information

Editors and Affiliations

  1. Japan Science and Technology Agency, Department of Mathematical Sciences, Ritsumeikan University, 1-1-1 Nojihigashi, Kusatsu, Shiga, 525-8577, Japan

    Arturo Kohatsu-Higa

  2. Division of Mathematical Sciences, Nanyang Technological University, SPMS-MAS-05-43, 21 Nanyang Link, Singapore, 637371, Singapore

    Nicolas Privault

  3. Department of Mathematics, National Central University, No.300, Zhongda Rd., Zhongli City, 320, Taiwan R.O.C.

    Shuenn-Jyi Sheu

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Ishikawa, Y. (2011). Optimal Stopping Problem Associated with Jump-diffusion Processes. In: Kohatsu-Higa, A., Privault, N., Sheu, SJ. (eds) Stochastic Analysis with Financial Applications. Progress in Probability, vol 65. Springer, Basel. https://doi.org/10.1007/978-3-0348-0097-6_8

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