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Transactions of the American Mathematical Society

Published by the American Mathematical Society since 1900, Transactions of the American Mathematical Society is devoted to longer research articles in all areas of pure and applied mathematics.

ISSN 1088-6850 (online) ISSN 0002-9947 (print)

The 2024 MCQ for Transactions of the American Mathematical Society is 1.48 .

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A free boundary problem connected with the optimal stopping problem for diffusion processes
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by Daniel B. Kotlow
Trans. Amer. Math. Soc. 184 (1973), 457-478
DOI: https://doi.org/10.1090/S0002-9947-1973-0365729-0
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Abstract:

This paper deals with a free boundary problem for a parabolic equation in one space variable which arises from the problem of selecting an optimal stopping strategy for the diffusion process connected with the equation. It is shown that a solution of the free boundary problem yields the solution of a minimum problem concerning supersolutions of the parabolic equation as well as the solution of the optimal stopping problem. Theorems regarding the existence, uniqueness, regularity, and approach to the steady state of solutions of the free boundary problem are established.
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Bibliographic Information
  • © Copyright 1973 American Mathematical Society
  • Journal: Trans. Amer. Math. Soc. 184 (1973), 457-478
  • MSC: Primary 60J60; Secondary 35K20
  • DOI: https://doi.org/10.1090/S0002-9947-1973-0365729-0
  • MathSciNet review: 0365729