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