The monotone follower problem in stochastic decision theory

DOI10.1007/BF01442115zbMath0438.93078MaRDI QIDQ1142195

Ioannis Karatzas

Publication date: 1981

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

local timesfree boundary problemsstochastic decision

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Variational inequalities (49J40) Heat equation (35K05) Optimal stochastic control (93E20) Diffusion processes (60J60) Decision theory for games (91A35)

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Cites Work

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• On optimal stopping and free boundary problems
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• Free boundary problems for the heat equation in which the moving interface coincides initially with the fixed face
• Some solvable stochastic control problemst^†
• General One-Phase Stefan Problems and Free Boundary Problems for the Heat Equation with Cauchy Data Prescribed on the Free Boundary
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