A new weak solution to an optimal stopping problem

DOI10.3934/DCDSB.2020128MaRDI QIDQ2026587zbMATH OpenOpenAlexFDO

Authors Cong Qin, Xinfu Chen

Publication date 20 May 2021

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2020128

zbMATH Keywords

free-boundary problemoptimal stopping problempenalty methodvariational inequalityviscosity solutionweak solution

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) PDEs in connection with control and optimization (35Q93) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• Continuous-time stochastic control and optimization with financial applications
• Elliptic Partial Differential Equations of Second Order
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• Stochastic differential equations. An introduction with applications.
• Stochastic optimal control. The discrete time case

Cited in

(2)

• The solution of some discretionary stopping problems:
• Dokładna i asymptotyczna analiza rozwiązań optymalnych problemów zatrzymania Brussa i Webera

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