Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: Bellman inclusion

Sortuj według:

Ogranicz wyniki do:

Bellman's inclusions and excessive measures

Zabczyk J.

Probability and Mathematical Statistics

2001

Vol. 21, Fasc. 1

101--122

The paper is concerned with Bellman's inclusions for the value function of the optimal stopping for a Markov process X on a complete separable metric space E. The author investigates a connection between seemingly unrelated objects; excessive measures, differential inclusions and optimal stopping. Conditions are given under which an evolutionary Bellman inclusion has a strong or weak solution in the Hilbert space L2 (E, µ), where p is an excessive measure for X. The solution is identified with the value function of a stopping problem. The stationary Bellman inclusion is treated as well. Specific examples of diffusions with jumps and infinite-dimensional diffusions are discussed. Excessivity of the measure µ plays an essential role in the development. The results are then applied to pricing American options both in finite and infinite dimensions recently investigated by Zhang [32], Mastroeni and Matzeu [20], [21], and Gątarek and Musiela [11].