By Philip Ernst and Hongwei Mei

The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has discontinuous paths and the cost function is not necessarily integrable on the entire time horizon, where the latter... Show more

July 30, 2021

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Exact optimal stopping for multidimensional linear switching diffusions

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