SIAM Journal on Control and Optimization, Vol.48, No.2, 941-971, 2009
OPTIMAL STOPPING PROBLEM FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS
An optimal stopping problem for stochastic differential equations with random coefficients is considered. The dynamic programming principle leads to a Hamiltion-Jacobi-Bellman equation, which, for the current case, is a backward stochastic partial differential variational inequality (BSPDVI, for short) for the value function. Well-posedness of such a BSPDVI is established, and a veri. cation theorem is proved.
Keywords:optimal stopping;random coefficients;dynamic programming principle;backward stochastic partial differential variational inequality;verification theorem