Abstract
A stopping time problem for degenerate reflected diffusions is studied in this paper. We give a characterization of the optimal cost as the maximum solution of a degenerate elliptic variational inequality with Neumann boundary conditions.
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Communicated by R. Rishel
The author would like to thank Professor L. C. Evans for very helpful suggestions on this topic.
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Menaldi, J.L. On a degenerate variational inequality with Neumann boundary conditions. J Optim Theory Appl 36, 535–563 (1982). https://doi.org/10.1007/BF00940546
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DOI: https://doi.org/10.1007/BF00940546