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