Controlled Jump Diffusion
نویسنده
چکیده
This paper concerns the optimal stopping time problem in a nite horizon of a controlled jump diiusion process. We prove that the value function is continuous and is a viscosity solution of the inte-grodiierential variational inequality arising from the associated dynamic programming. We also establish comparison principles, which yield uniqueness results. Moreover, the viscosity solution approach allows us to extend maximum principles for linear parabolic integrod-iierential operators in C 0 ((0; T]IR n) and to obtain C 1;2 ((0; T)IR n) existence result for the associated Cauchy problem in the nondegen-erate case.
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