Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems

DOI10.1007/BF00282324zbMath0271.93018MaRDI QIDQ758945

Avner Friedman

Publication date: 1973

Published in: Archive for Rational Mechanics and Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Related Items (15)

MINIMUM GUARANTEED PAYMENTS AND COSTLY CANCELLATION RIGHTS: A STOPPING GAME PERSPECTIVE ⋮ A class of solvable stopping games ⋮ Optimal annuitization and asset allocation under linear habit formation ⋮ Potential methods in variational inequalities ⋮ A parabolic variational inequality in unbounded domains ⋮ Problemes de temps d’arret optimal et inequations variationnelles paraboliques ⋮ Parabolic variational inequalities in one space dimension and smoothness of the free boundary ⋮ Nonlinear variational inequalities and differential games with stopping times ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Evaluation de l'erreur d'approximation pour une inéquation parabolique rélative aux convexes dependant du temps ⋮ On \(L^p\)-viscosity solutions of parabolic bilateral obstacle problems with unbounded ingredients ⋮ Existence of a regular solution of a quasi-variational inequality in an unbounded domain ⋮ Stochastic games and variational inequalities ⋮ PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS ⋮ Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems

Cites Work

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• Stochastic games and variational inequalities
• Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions. I
• Sur la régularité de la solution d'inéquations elliptiques

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