A linear-quadratic control problem with discretionary stopping

Shigeaki Koike; Hiroaki Morimoto; Shigeru Sakaguchi

doi:10.3934/dcdsb.2007.8.261

A linear-quadratic control problem with discretionary stopping

Shigeaki Koike^*, Hiroaki Morimoto, Shigeru Sakaguchi

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	261-277
Number of pages	17
Journal	Discrete and Continuous Dynamical Systems - Series B
Volume	8
Issue number	2
DOIs	https://doi.org/10.3934/dcdsb.2007.8.261
Publication status	Published - 2007 Sept
Externally published	Yes

Keywords

Linear-quadratic control
Stopping time
Viscosity solution

ASJC Scopus subject areas

Discrete Mathematics and Combinatorics
Applied Mathematics

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10.3934/dcdsb.2007.8.261

Cite this

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title = "A linear-quadratic control problem with discretionary stopping",

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.",

keywords = "Linear-quadratic control, Stopping time, Viscosity solution",

author = "Shigeaki Koike and Hiroaki Morimoto and Shigeru Sakaguchi",

year = "2007",

month = sep,

doi = "10.3934/dcdsb.2007.8.261",

language = "English",

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AU - Koike, Shigeaki

AU - Morimoto, Hiroaki

AU - Sakaguchi, Shigeru

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N2 - 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.

AB - 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.

KW - Linear-quadratic control

KW - Stopping time

KW - Viscosity solution

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M3 - Article

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SN - 1531-3492

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JO - Discrete and Continuous Dynamical Systems - Series B

JF - Discrete and Continuous Dynamical Systems - Series B

IS - 2

ER -

A linear-quadratic control problem with discretionary stopping

Abstract

Keywords

ASJC Scopus subject areas

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