Variational Inequalities in Hilbert Spaces with Measures and Optimal Stopping Problems

被引：0
作者：
Viorel Barbu
Carlo Marinelli
机构：
[1] University Al. I. Cuza,Institut für Angewandte Mathematik
[2] Universität Bonn,undefined
来源：
Applied Mathematics and Optimization | 2008年 / 57卷
关键词：
Variational inequalities; Excessive measures; Kolmogorov operators; -accretive operators;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study the existence theory for parabolic variational inequalities in weighted L2 spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for finite and infinite dimensional diffusions as a generalized solution of such a variational inequality. The weighted L2 setting allows us to cover some singular cases, such as optimal stopping for stochastic equations with degenerate diffusion coefficient. As an application of the theory, we consider the pricing of American-style contingent claims. Among others, we treat the cases of assets with stochastic volatility and with path-dependent payoffs.
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页码：237 / 262
页数：25
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