Viscosity solutions of optimal stopping problems

DOI10.1080/17442509808834137zbMATH Open0913.60037OpenAlexW2035159033MaRDI QIDQ4385261FDOQ4385261

Authors: Kristin Reikvam, B. 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

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zbMATH Keywords

optimal stoppingvariational inequalitiesviscosity solutions

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (22)

• Stochastic targets with mixed diffusion processes and viscosity solutions.
• Optimal stopping of one-dimensional diffusions with integral criteria
• Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
• Optimal learning before choice
• Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
• A model for optimal stopping in advertisement
• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Optimal stopping of Markov switching Lévy processes
• Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
• Optimal entry and consumption under habit formation
• Time-symmetric optimal stochastic control problems in space-time domains
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems
• Optimal investment decision under switching regimes of subsidy support
• Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
• On the optimal stopping problem for one-dimensional diffusions.
• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• Discretionary stopping of stochastic differential equations with generalised drift
• An exactly solvable multiple stochastic optimal stopping problem
• Viscosity Solutions for Obstacle Problems on Wasserstein Space
• On a class of optimal stopping problems for diffusions with discontinuous coefficients
• The obstacle problem for the \(p\)-Laplacian via optimal stopping of tug-of-war games
• The importance of dynamic risk constraints for limited liability operators

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