Article1980

On the Optimal Stopping Time Problem for Degenerate Diffusions

48 citations0/0 files storedSIAM Journal on Control and Optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Partial Differential Equations Optimization and Variational Analysis

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 48 citations exist upstream.

References

1980On the Optimal Impulse Control Problem for Degenerate Diffusions

Cited by

2010Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay 2014A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis 1984On singular stochastic control problems for diffusion with jumps 1987Optimal impulse control problems for degenerate diffusions with jumps 2013On the Impulse Control of Jump Diffusions 2003Variational Inequalities for Combined Control and Stopping

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.