Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region
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Publication:4018634
DOI10.1080/17442509208833761zbMath0793.60045MaRDI QIDQ4018634
Publication date: 16 January 1993
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509208833761
stochastic differential equations; optimal stopping problem; uniformly parabolic operators; free-boundary problems; optimal payoff function
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G40: Stopping times; optimal stopping problems; gambling theory
35R35: Free boundary problems for PDEs
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