FREE BOUNDARY PROBLEM FOR CONTROLLED STOCHASTIC
Abstract: This article is concerned with an optimal stopping problem of controlled stochastic
differential equations. The value function up to t provides a unique solution of the free
boundary problem of parabolic type (Theorem 1, a little variant of ). On the other hand, the
value function provides a non-linear semigroup (Proposition 3) and the Cauchy
problem of this generator will be considered (corollaries and remarks on uniqueness).
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -