Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes

DOI10.1080/1045112021000015331zbMath1020.60029OpenAlexW1975942119MaRDI QIDQ4796608

Claudia Ceci, Bruno Bassan

Publication date: 24 March 2003

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

Full work available at URL: https://doi.org/10.1080/1045112021000015331

zbMATH Keywords

variational inequalityviscosity solutionoptimal stopping

Mathematics Subject Classification ID

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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