Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients | Zendy

Mou-Hsiung Chang | Zendy; Tao Pang | Zendy; Jiongmin Yong | Zendy

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Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients

Author(s) -

Mou-Hsiung Chang,

Tao Pang,

Jiongmin Yong

Publication year - 2009

Publication title -

siam journal on control and optimization

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.486

H-Index - 116

eISSN - 1095-7138

pISSN - 0363-0129

DOI - 10.1137/070705726

Subject(s) - mathematics , bellman equation , optimal stopping , stochastic differential equation , stochastic partial differential equation , variational inequality , dynamic programming , function (biology) , partial differential equation , stopping time , mathematical analysis , mathematical optimization , statistics , evolutionary biology , biology

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 verification theorem is proved.

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