Problemes de temps d’arret optimal et inequations variationnelles paraboliques

DOI10.1080/00036817308839070zbMath0341.60032OpenAlexW2042553009WikidataQ58265747 ScholiaQ58265747MaRDI QIDQ4109071

Jacques Louis Lions, Alain Bensoussan

Publication date: 1973

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036817308839070

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

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• Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
• Monotone (nonlinear) operators in Hilbert space
• On optimal stopping and free boundary problems
• Stochastic games and variational inequalities
• A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
• CONTROL OF MARKOV PROCESSES AND $ W$-SPACES
• Variational inequalities
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Optimal Continuous-Parameter Stochastic Control

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