Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients

DOI10.1137/070705726zbMath1194.49035OpenAlexW2092059756MaRDI QIDQ3557953

Mou-Hsiung Chang, Tao Pang, Jiong-min Yong

Publication date: 28 April 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://stars.library.ucf.edu/cgi/viewcontent.cgi?article=2399&context=facultybib2000

zbMATH Keywords

optimal stoppingrandom coefficientsverification theoremdynamic programming principlebackward stochastic partial differential variational inequality

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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