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A new weak solution to an optimal stopping problem

  • * Corresponding author: Cong Qin

    * Corresponding author: Cong Qin 

The first author received support from NSFC 11901416, NSF of Jiangsu BK20190812, and NSF for Universities in Jiangsu Province 19KJD100005

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  • In this paper, we propose a new weak solution to an optimal stopping problem in finance and economics. The main advantage of this new definition is that we do not need the Dynamic Programming Principle, which is critical for both classical verification argument and modern viscosity approach. Additionally, the classical methods in differential equations, e.g. penalty method, can be used to derive some useful results.

    Mathematics Subject Classification: Primary: 35K86, 91G80; Secondary: 35Q93, 91G20.

    Citation:

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    [7] H. Pham, Continuous-Time Stochastic Control and Optimization with Financial Applications, Springer, 2009. doi: 10.1007/978-3-540-89500-8.
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