| Article ID: | iaor1997322 |
| Country: | France |
| Volume: | 320 |
| Issue: | 9 |
| Start Page Number: | 1113 |
| End Page Number: | 1118 |
| Publication Date: | Sep 1995 |
| Journal: | Comptes Rendus De L'Academie Des Sciences Serie I-(mathematiques) |
| Authors: | Pham H. |
This note concerns the optimal stopping time problem of a controlled-jump diffusion process. The paper proves tht the value function is a viscosity solution of the integrodifferential variational inequality arising from the associated dynamic programming. It also establishes a comparison principle, which yields a uniqueness result.