Optimal Stopping Problems in Stochastic Control

DOI10.1137/1021005MaRDI QIDQ4187683zbMATH OpenOpenAlexFDO

Authors A. Friedman

Publication date 1979

Published in SIAM Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1021005

zbMATH Keywords

Markov ProcessOptimal Stopping ProblemsQuasivariational InequalitiesVariational

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Cited in

(9)

• Optimal switching for alternating processes
• Optimal timing to initiate medical treatment for a disease evolving as a semi-Markov process
• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• Local optimality conditions for optimal stopping
• Corrected random walk approximations to free boundary problems in optimal stopping
• A novel idea to solve optimal stopping problem with finite time horizon and its application in American put
• On the stopping time problem of interval-valued differential equations without monotonicity constraint

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