Optimal Stopping of a Hilbert Space Valued Diffusion: An Infinite Dimensional Variational Inequality

A finite horizon optimal stopping problem for an infinite dimensional diffusion X is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space H with a non-linear diffusion coefficient σ ( X ) and a generic unbounded operator A in the drift term. When the gain...

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Vydáno v:	Applied mathematics & optimization Ročník 73; číslo 2; s. 271 - 312
Hlavní autoři:	Chiarolla, Maria B., De Angelis, Tiziano
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.04.2016 Springer Nature B.V
Témata:	Approximation Calculus of Variations and Optimal Control; Optimization Control Diffusion Drift Hilbert space Inequalities Inequality Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematical models Mathematics Mathematics and Statistics Numerical and Computational Physics Optimization Partial differential equations Pricing Simulation Stochastic models Studies Systems Theory Theoretical Viscosity Optimal stopping Infinite-dimensional stochastic analysis 60G40 49J40 Degenerate variational inequalities 35R15 Parabolic partial differential equations
ISSN:	0095-4616, 1432-0606
On-line přístup:	Získat plný text
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