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

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dc.contributor.authorYipeng, Yang
dc.date.accessioned2020-04-28T19:17:27Z
dc.date.available2020-04-28T19:17:27Z
dc.date.issued2014
dc.description.abstractThe 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.en_US
dc.identifier.citation7. 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, 2014en_US
dc.identifier.urihttps://hdl.handle.net/10657.1/2302
dc.publisherProbability and Mathematical Statisticsen_US
dc.subjectOptimization and Control (math.OC)en_US
dc.titleRefined Solutions of Time Inhomogeneous Optimal Stopping Problem and Zero-sum Game via Dirichlet Formen_US
dc.typeArticleen_US

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Yipeng Yang