Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
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Publication:4543513
DOI10.1080/10451120290008557zbMath0998.60039OpenAlexW2025489049MaRDI QIDQ4543513
Publication date: 8 August 2002
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10451120290008557
Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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