Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games

DOI10.1090/S0002-9939-2014-11860-0zbMath1321.60080arXiv1112.4904MaRDI QIDQ5401378

Publication date: 13 March 2014

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4904

zbMATH Keywords

obstacle problems; comparison principle; viscosity solutions; Dynkin games; first hitting times; stochastic Perron method; non-smooth verification; stopping regions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35K65: Degenerate parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

91A15: Stochastic games, stochastic differential games

35R35: Free boundary problems for PDEs

60G46: Martingales and classical analysis

35K10: Second-order parabolic equations

35D40: Viscosity solutions to PDEs

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Cites Work