Refined solutions of time inhomogeneous optimal stopping problem and zero-sum game via Dirichlet form

• Autorzy: Yang Y.
• Języki publikacji: EN

Abstrakty

EN

The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity conditio on the transition function of the underlying process and some other assumptions, the refined solutions without exceptional starting points are proved to exist, and the value functions of the optimal stopping problem and zero-sum game, which belong to certain functional spaces, are characterized as the solutions of some variational inequalities, respectively.

Słowa kluczowe

EN

time inhomogeneous Dirichlet form; optimal stopping; zero-sum game; variational inequality

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2014
• Tom: Vol. 34, Fasc. 2
• Strony: 253--271
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Yang Y.

• Department of Mathematics, University of Houston-Clear Lake, Houston, Texas, 77058

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).