Abstract
Let x(t) be an n-dimensional diffusion process defined as a solution of a system of stochastic differential equations
with the n-vector b(x,t) and the n × n matrix σ(x,t) continuous in (x,t) ∈ Rnx(-∞, ∞) and uniformly Lipschitz continuous in x.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Bensoussan, A., and J. L. Lions, Problèmes de temps d’arrêt optimal et inequations variationelles paraboliques, Applicable Analysis, to appear.
Duvaut, G., Résolution d’un problème de Stefan (Fusion d’un bloc de glace à zero degre), C. R. Acad. Sc. Paris, 276 (1973), 1461 – 1463.
Friedman, Stochastic games and variational inequalities, Archive Rat. Mech. Analys., 51 (1973), 321 – 346.
Friedman, A., Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems, Archive Rat. Mech. Analys., 52 (1973), 134 — l60.
Friedman, A., Parabolic variational inequalities in one space dimension and the smoothness of the free boundary, to appear.
Friedman, A., and D. Kinderlehrer, A one phase Stefan problem, to appear.
Jensen, R., Finite difference approximation to the free boundary of a parabolic variational inequality, to appear.
Van Moerbeke, P., Optimal stopping and free boundary problems, Archive Rat. Mech. Analys., to appear.
Van Moerbeke, P., An optimal stopping problem for linear reward, Acta Math., 132 (1974), 1 – 41.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1975 Springer-Verlag Berlin · Heidelberg
About this paper
Cite this paper
Friedman, A. (1975). Stopping Time Problems and the Shape of the Domain of Continuation. In: Bensoussan, A., Lions, J.L. (eds) Control Theory, Numerical Methods and Computer Systems Modelling. Lecture Notes in Economics and Mathematical Systems, vol 107. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46317-4_39
Download citation
DOI: https://doi.org/10.1007/978-3-642-46317-4_39
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-07020-7
Online ISBN: 978-3-642-46317-4
eBook Packages: Springer Book Archive