Local optimality conditions for optimal stopping
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 7 (1) , 91-132
- https://doi.org/10.1080/17442508208833214
Abstract
A general problem of optimal stopping is studied by the methods of continuous-time dynamic programming. Local necessary and sufficient conditions for optimality are derived by using a semigroup differentiation; these conditions are obtained in the form of generalized variational inequalities and extend previous work in this area by A. Bensoussan and J. L. Lions.Keywords
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