Nested variational inequalities and related optimal starting–stopping problems
Keyword(s):
This paper introduces several versions of starting-stopping problem for the diffusion model defined in terms of a stochastic differential equation. The problem could be regarded as a stochastic differential game in which the player can only decide when to start the game and when to quit the game in order to maximize his fortune. Nested variational inequalities arise in studying such a problem, with which we are able to characterize the value function and to obtain optimal strategies.
1992 ◽
Vol 29
(01)
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pp. 104-115
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Keyword(s):
1988 ◽
Vol 2
(1)
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pp. 31-39
2017 ◽
Vol 2
(3)
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pp. 212-221
2014 ◽
Vol 17
(08)
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pp. 1450055
Keyword(s):
2012 ◽
Vol 44
(3)
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pp. 886-906
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