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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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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DOI: https://doi.org/10.1007/s10440-020-00353-7