A new weak solution to an optimal stopping problem

DOI10.3934/DCDSB.2020128zbMath1465.35293OpenAlexW3023197143MaRDI QIDQ2026587

Cong Qin, Xinfu Chen

Publication date: 20 May 2021

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2020128

zbMATH Keywords

weak solutionvariational inequalityviscosity solutionpenalty methodfree-boundary problemoptimal stopping problem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to PDEs (35D40) PDEs in connection with control and optimization (35Q93) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

Cites Work

• Unnamed Item
• Unnamed Item
• Continuous-time stochastic control and optimization with financial applications
• Stochastic optimal control. The discrete time case
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• Elliptic Partial Differential Equations of Second Order
• Stochastic differential equations. An introduction with applications.

This page was built for publication: A new weak solution to an optimal stopping problem