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A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem.
Raymond Rishel
Kurt Helmes
Published in:
SIAM J. Control. Optim. (2006)
Keyphrases
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sufficient conditions
optimal stopping
variational inequalities
fixed point
finite horizon
linear complementarity problem
boundary conditions
brownian motion
dynamic programming
optimal policy
image processing
optimal solution
denoising
sensitivity analysis
nash equilibrium