Title

OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS

Authors

Authors

M. H. Chang; T. Pang;J. M. Yong

Comments

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Abstract

An optimal stopping problem for stochastic differential equations with random coefficients is considered. The dynamic programming principle leads to a Hamiltion-Jacobi-Bellman equation, which, for the current case, is a backward stochastic partial differential variational inequality (BSPDVI, for short) for the value function. Well-posedness of such a BSPDVI is established, and a veri. cation theorem is proved.

Journal Title

Siam Journal on Control and Optimization

Volume

48

Issue/Number

2

Publication Date

1-1-2009

Document Type

Article

First Page

941

Last Page

971

WOS Identifier

WOS:000265778500024

ISSN

0363-0129

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