Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Constrained optimal stopping under a regime-switching model   We investigate an optimal stopping problem for the expected value of a
discounted payoff on a regime-switching geometric Brownian motion under two
constraints on the possible stopping times: only at exogenous random times and
only during a specific regime. The main objectives are to show that an optimal
stopping time exists as a threshold type under some boundary conditions and to
derive expressions of the value functions and the optimal threshold. To this
end, we solve the corresponding variational inequality and show that its
solution coincides with the value functions. Some numerical results are also
introduced. Furthermore, we investigate some asymptotic behaviors.

0
The categories of this paper are: hep-ph
35
The categories of this paper are: mtrl-th
30
The categories of this paper are: q-alg
1
The categories of this paper are: cs
13
The categories of this paper are: quant-ph
7
The categories of this paper are: hep-th
20
The categories of this paper are: acc-phys
19
The categories of this paper are: eess
33
The categories of this paper are: plasm-ph
36
The categories of this paper are: cmp-lg
14
The categories of this paper are: math-ph
27
The categories of this paper are: comp-gas
32
The categories of this paper are: atom-ph
10
The categories of this paper are: q-bio
16
The categories of this paper are: stat
3
The categories of this paper are: physics