Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
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Publication:4821627
DOI10.1080/10451120410001728436zbMath1056.60034OpenAlexW1975464654MaRDI QIDQ4821627
Publication date: 21 October 2004
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10451120410001728436
Variational inequalities (49J40) Optimal stochastic control (93E20) 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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