Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality

DOI10.1007/s00245-015-9302-8zbMath1338.60116arXiv1207.0720OpenAlexW2104260102WikidataQ61833293 ScholiaQ61833293MaRDI QIDQ282076

Maria B. Chiarolla, Tiziano De Angelis

Publication date: 12 May 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.0720

zbMATH Keywords

optimal stoppinginfinite-dimensional stochastic analysisHilbert space valued diffusionparabolic degenerate variational inequalities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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