Optimal stopping in Hilbert spaces and pricing of American options.

Dariusz Gatarek Andrzej Swiech

Published in: Math. Methods Oper. Res. (1999)

Keyphrases

optimal stopping
hilbert spaces
brownian motion
variational inequalities
hilbert space
finite horizon
differential equations
stochastic process
optimal control
decision making
anisotropic diffusion
diffusion process
infinite horizon
reproducing kernel hilbert space