Variational inequalities for leavable bounded-velocity control

Shigeaki Koike; Hiroaki Morimoto

doi:10.1007/s00245-003-0763-9

Variational inequalities for leavable bounded-velocity control

Shigeaki Koike^*, Hiroaki Morimoto

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

We study the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. We establish the existence of a strong solution by using the viscosity solution techniques. The optimal policy is shown to exist from the optimality conditions in the variational inequality.

Original language	English
Pages (from-to)	1-20
Number of pages	20
Journal	Applied Mathematics and Optimization
Volume	48
Issue number	1
DOIs	https://doi.org/10.1007/s00245-003-0763-9
Publication status	Published - 2003 Dec 1
Externally published	Yes

Keywords

Optimal stopping
Stochastic control
Variational inequality
Viscosity solution

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

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10.1007/s00245-003-0763-9

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title = "Variational inequalities for leavable bounded-velocity control",

abstract = "We study the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. We establish the existence of a strong solution by using the viscosity solution techniques. The optimal policy is shown to exist from the optimality conditions in the variational inequality.",

keywords = "Optimal stopping, Stochastic control, Variational inequality, Viscosity solution",

author = "Shigeaki Koike and Hiroaki Morimoto",

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doi = "10.1007/s00245-003-0763-9",

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AU - Morimoto, Hiroaki

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AB - We study the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. We establish the existence of a strong solution by using the viscosity solution techniques. The optimal policy is shown to exist from the optimality conditions in the variational inequality.

KW - Optimal stopping

KW - Stochastic control

KW - Variational inequality

KW - Viscosity solution

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JF - Applied Mathematics and Optimization

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Variational inequalities for leavable bounded-velocity control

Abstract

Keywords

ASJC Scopus subject areas

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