Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region

DOI10.1080/17442509208833761zbMath0793.60045OpenAlexW2005212496MaRDI QIDQ4018634

J. R. Lynn, S. D. Jacka

Publication date: 16 January 1993

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509208833761

zbMATH Keywords

stochastic differential equationsoptimal stopping problemuniformly parabolic operatorsfree-boundary problemsoptimal payoff function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)

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