OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS
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.
Siam Journal on Control and Optimization
"OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS" (2009). Faculty Bibliography 2000s. 1400.