Discontinuous solutions of deterministic optimal stopping time problems
- Volume: 21, Issue: 4, page 557-579
- ISSN: 0764-583X
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topBarles, G., and Perthame, B.. "Discontinuous solutions of deterministic optimal stopping time problems." ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique 21.4 (1987): 557-579. <http://eudml.org/doc/193514>.
@article{Barles1987,
author = {Barles, G., Perthame, B.},
journal = {ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique},
keywords = {discontinuous obstacle; deterministic optimal stopping time problem; viscosity solution; Bellman variational inequality; minimum exit time from a domain},
language = {eng},
number = {4},
pages = {557-579},
publisher = {Dunod},
title = {Discontinuous solutions of deterministic optimal stopping time problems},
url = {http://eudml.org/doc/193514},
volume = {21},
year = {1987},
}
TY - JOUR
AU - Barles, G.
AU - Perthame, B.
TI - Discontinuous solutions of deterministic optimal stopping time problems
JO - ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique
PY - 1987
PB - Dunod
VL - 21
IS - 4
SP - 557
EP - 579
LA - eng
KW - discontinuous obstacle; deterministic optimal stopping time problem; viscosity solution; Bellman variational inequality; minimum exit time from a domain
UR - http://eudml.org/doc/193514
ER -
References
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Citations in EuDML Documents
top- Olivier Bokanowski, Nicolas Forcadel, Hasnaa Zidani, Deterministic state-constrained optimal control problems without controllability assumptions
- Olivier Bokanowski, Nicolas Forcadel, Hasnaa Zidani, Deterministic state-constrained optimal control problems without controllability assumptions
- I. Capuzzo Dolcetta, M. Falcone, Discrete dynamic programming and viscosity solutions of the Bellman equation
- Bertram Düring, Michel Fournié, Ansgar Jüngel, Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- Magdalena Kobylanski, Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
- G. Barles, An approach of deterministic control problems with unbounded data
- Pierpaolo Soravia, Degenerate Eikonal equations with discontinuous refraction index
- Bertram Düring, Michel Fournié, Ansgar Jüngel, Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
- Italo Capuzzo Dolcetta, Soluzioni di viscosità
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