On free boundary problems arising in probability theory (existence theorems)

DOI10.1070/RM1997V052N01ABEH001750zbMATH Open0903.60048OpenAlexW2032088232MaRDI QIDQ4386650FDOQ4386650

Authors: Gopinath Kallianpur, Olga Arsenevna Oleĭnik 

Publication date: 5 January 1999

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1997v052n01abeh001750

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zbMATH Keywords

Markov processoptimal stopping

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inverse problems for PDEs (35R30) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (2)

• Principles of optimal stopping and free-boundary problems
• Optimal stopping of integral functionals and a ``no-loss free boundary formulation

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