The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem

DOI10.1016/j.jfranklin.2018.12.005zbMath1451.93420OpenAlexW2906657237WikidataQ128731070 ScholiaQ128731070MaRDI QIDQ1717510

Lei Zhang, Bin Liu

Publication date: 6 February 2019

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2018.12.005

zbMATH Keywords

optimal stoppingstochastic optimal controlobstacle problemintegro-partial differential equations

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Integro-partial differential equations (35R09)

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