Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
复制标题
一般马尔可夫过程最优停止问题的价值函数和粘性解的正则性
DOI：
10.1080/1045112021000015331
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
Claudia Ceci
中科院分区：
文献类型：
--
作者：
Bruno Bassan;Claudia Ceci
考虑报酬函数g为连续的马氏过程的最优停止问题，证明了在适当的条件下，价值函数w = w [ g ]本身是连续的，并且是相应变分不等式的粘性解.
We consider optimal stopping problems for Markov processes with a semicontinuous reward function g , and we show that under suitable conditions the value function w = w [ g ] is itself semicontinuous and is a viscosity solution of the associated variational inequality.