Gatarek, Dariusz; Andrzej ŚwiechRID="*"ID="*" Andrzej; … - In: Computational Statistics 50 (1999) 1, pp. 135-147
We consider an optimal stopping problem for a Hilbert-space valued diffusion. We prove that the value function of the problem is the unique viscosity solution of an obstacle problem for the associated parabolic partial differential equation in the Hilbert space. The results are applied to...