Refined Solutions of Time Inhomogeneous Optimal Stopping Problem and Zero-sum Game via Dirichlet Form

Date

2014

Authors

Yipeng, Yang

Journal Title

Journal ISSN

Volume Title

Publisher

Probability and Mathematical Statistics

Abstract

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 condition on the transition function of the underlying diffusion process and some other assumptions, the refined solutions without exceptional starting points are proved to exist, and the value functions of the optimal stopping and zero-sum game, which are finely and cofinely continuous, are characterized as the solutions of some variational inequalities, respectively.

Description

Keywords

Optimization and Control (math.OC)

Citation

7. Yipeng Yang, Refined Solutions of Time Inhomogeneous Optimal Stopping Problem and Zero-sum Game via Dirichlet Form, Probability and Mathematical Statistics, 34(2) 253-271, 2014