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\\(\\{X_t\\}_{t\\geq 0}\\) be an It\u00f4 diffusion in \\(I R^n\\) with the corresponding infinitesimal generator \\(L\\). The value function \\(\\Phi\\) of the optimal stopping problem \\(\\Phi (x)=\\sup _{\\tau}E^x\\left[\\int _0^{\\tau}f(X_t)dt+g(X_{\\tau})\\right]\\), where the stopping times \\(\\tau\\) act before leaving a given region \\(S\\subset \\mathbb{R}^n\\), under some smoothness conditions can be found as the unique solution of corresponding variational inequalities, cp. \\textit{B. \u00d8ksendal} [``Stochastic differential equations'' (1995; Zbl 0841.60037)]. But it seems that \\(\\Phi\\) is not always smooth enough. Connected with stochastic control problems, \\textit{M. G. Crandall} and \\textit{P.-L. Lions} [Trans. Am. Math. Soc. 277, 1-42 (1983; Zbl 0599.35024)]\\ have developed the so-called viscosity solution of the corresponding Hamilton-Jacobi-Bellman equations. Under mild conditions, \\(\\Phi\\) is the unique viscosity solution of the variational inequalities \\[ \\min\\{-L\\Phi (x)-f(x),\\Phi (x)-g(x)\\}=0\\quad \\forall x\\in S,\\quad\\Phi (x)=g(x)\\quad\\forall x\\in\\partial S. \\] So the viscosity solutions got a stochastic interpretation in a very generality. An illustrative example with a non-smooth \\(\\Phi\\) is given.","type":"string"},"datatype":"string"},"type":"statement","id":"Q4385261$82F6C2A7-694D-49C7-865D-65D6E712A8D9","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:4385261","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:4385261"}}}}}