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Optimal stopping of Markov switching Lévy processes

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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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Keywords: Lévy process; Markov chain; optimal stopping; regime switching; viscosity solutions

Document Type: Research Article

Affiliations: Department of Mathematics, Towson University, Towson, MD,21252-0001, USA

Publication date: March 4, 2014

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