Browsing Colleges by Subject "Optimization and Control (math.OC)"
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Refined Solutions of Time Inhomogeneous Optimal Stopping Problem and Zero-sum Game via Dirichlet Form
(Probability and Mathematical Statistics, 2014)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 ...