Asymptotic analysis for variational inequalities and its application to optimal stopping

DOI10.1080/17442508808833516zbMATH Open0649.60051OpenAlexW2031634826MaRDI QIDQ3794992FDOQ3794992

Authors:

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833516

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zbMATH Keywords

optimal stopping problemvariational inequalitieslocally compact Hausdorff spaceDirichlet spaceergodic diffusionsasymptotic behaviour of the solution

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Variational inequalities (global problems) in infinite-dimensional spaces (58E35)

Cites Work

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• Energy forms, Hamiltonians, and distorted Brownian paths
• Regularity properties of Schrödinger and Dirichlet semigroups
• On Some Impulse Control Problems with Long Run Average Cost
• On the poisson equation and optimal stopping of ergodic markov processes
• On an optimal stopping problem and a variational inequality
• Stochastic control of symmetric markov processes and nonlinear variational inequalities
• Existence of a regular solution of a quasi-variational inequality in an unbounded domain

Cited In (6)

• Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems
• Nested variational inequalities and related optimal multiple startingstopping problems for symmetric Markov processes
• Dokładna i asymptotyczna analiza rozwiązań optymalnych problemów zatrzymania Brussa i Webera

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