SIAM Journal on Control and Optimization · 1980 · 55 citations · 3 references
Natural SciencesMathematicsOptimizationStochastic ProcessesDiffusion ProcessesOptimal ControlOptimal StoppingStochastic ControlStopping TimesVariational InequalitiesDegenerate DiffusionsOptimal Stopping For DiffusionsStopping CriteriaStopping Time AnalysisVariational Inequality ProblemsVariational Inequality Theory
In this paper we give a characterization of the optimal cost of a stopping time problem as the maximum solution of a variational inequality without coercivity. Some properties of continuity for the optimal cost are also given.
3