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
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
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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