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- Publisher
- Springer Basel
- Copyright
- © Springer Basel AG 2011
- ISBN
- 978-3-0348-0096-9
- Pages
- 99 –120
- DOI
- 10.1007/978-3-0348-0097-6_8
- Publisher site
- See Chapter on Publisher Site
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.]
Published: Jul 12, 2011
Keywords: Optimal stopping; Levy process; viscosity solution.