Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory
From MaRDI portal
Publication:3145067
DOI10.1080/07362994.2012.727143zbMath1268.60052OpenAlexW2333109939WikidataQ57433191 ScholiaQ57433191MaRDI QIDQ3145067
Moustapha Pemy, Mou-Hsiung Chang, Tao Pang
Publication date: 13 December 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2012.727143
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Generalized stochastic processes (60G20)
Cites Work
- Stochastic control problems with delay
- Theory of functional differential equations. 2nd ed
- Optimization of functions on certain subsets of Banach spaces
- The European option with hereditary price structures
- Optimal stopping in Hilbert spaces and pricing of American options
- Optimal control of stochastic systems with aftereffect
- The pricing of options for securities markets with delayed response
- Infinite-dimensional Black-Scholes equation with hereditary structure
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- A Delayed Black and Scholes Formula
- User’s guide to viscosity solutions of second order partial differential equations
- Dynamic programming in stochastic control of systems with delay
- When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
- OPTIMAL STOPPING WITH DELAYED INFORMATION
- Stochastic differential equations. An introduction with applications.
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory
