scientific article

zbMath1252.49008MaRDI QIDQ3165390

Goran Peskir

Publication date: 26 October 2012

Full work available at URL: http://www.heldermann.de/JCA/JCA19/JCA193/jca19034.htm

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zbMATH Keywords

free boundary problemBrownian motionLegendre transformgeodesicFenchel's duality theoremvon Neumann's minimax theoremdiffusion/Markov process, superharmonic/subharmonic/semiharmonic characterisation of the value functionoptimal stopping problem/gameprimal and dual problems of optimal stoppingshortest path between graphs/obstaclesStackelberg/Nash equilibrium

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Existence of solutions for minimax problems (49J35) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Geodesics in global differential geometry (53C22) Duality theory (optimization) (49N15) Length, area and volume in real or complex geometry (51M25)

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