Asymptotic analysis for variational inequalities and its application to optimal stopping

DOI10.1080/17442508808833516zbMath0649.60051OpenAlexW2031634826MaRDI QIDQ3794992

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Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833516

zbMATH Keywords

variational inequalitiesergodic diffusionslocally compact Hausdorff spaceDirichlet spaceoptimal stopping problemasymptotic behaviour of the solution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Variational inequalities (global problems) in infinite-dimensional spaces (58E35)

Cites Work

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• Regularity properties of Schrödinger and Dirichlet semigroups
• On an optimal stopping problem and a variational inequality
• On the poisson equation and optimal stopping of ergodic markov processes
• Stochastic control of symmetric markov processes and nonlinear variational inequalities
• On Some Impulse Control Problems with Long Run Average Cost
• Energy forms, Hamiltonians, and distorted Brownian paths
• Existence of a regular solution of a quasi-variational inequality in an unbounded domain

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