2021
DOI: 10.48550/arxiv.2107.14441
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Exact optimal stopping for multidimensional linear switching diffusions

Abstract: 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 is often a key assumption in classical optimal stopping theory for diffusions, cf. [22, Corollary 2.9]. Under relatively mild conditions, we show, for the class of mult… Show more

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