Viscosity solutions of optimal stopping problems
From MaRDI portal
Publication:4385261
DOI10.1080/17442509808834137zbMath0913.60037MaRDI QIDQ4385261
Kristin Reikvam, Bernt Øksendal
Publication date: 26 May 1999
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: http://urn.nb.no/URN:NBN:no-47315
49J40: Variational inequalities
60G40: Stopping times; optimal stopping problems; gambling theory
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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