Before revision: In this article, a general form of optimal stopping problems in regime-switching models is studied under certain standard assumptions. An optimal stopping problem with an arbitrary value function in a two-regime environment can be reduced to a pair of optimal stopping problems without regime switching.
After revision: In this article, a general form of optimal stopping problems in regime-switching models . In this article, we reduce an optimal stopping problem with an arbitrary value function in a two-regime environment can be reduced to a pair of optimal stopping problems without regime switching.