Viscosity solutions of optimal stopping problems

DOI10.1080/17442509808834137zbMath0913.60037OpenAlexW2035159033MaRDI QIDQ4385261

Kristin Reikvam, Bernt Øksendal

Publication date: 26 May 1999

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

Full work available at URL: http://urn.nb.no/URN:NBN:no-47315

zbMATH Keywords

variational inequalitiesoptimal stoppingviscosity solutions

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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