A linear-quadratic control problem with discretionary stopping

Shigeaki Koike, Hiroaki Morimoto, Shigeru Sakaguchi

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We study the variational inequality for a 1-dimensional linear-quadratic control problem with discretionary stopping. We establish the existence of a unique strong solution via stochastic analysis and the viscosity solution technique. Finally, the optimal policy is shown to exist from the optimality conditions.

Original languageEnglish
Pages (from-to)261-277
Number of pages17
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume8
Issue number2
DOIs
Publication statusPublished - 2007 Sep
Externally publishedYes

Keywords

  • Linear-quadratic control
  • Stopping time
  • Viscosity solution

ASJC Scopus subject areas

  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

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