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

School of Advanced Science and Engineering

Research output: Contribution to journal › Article

8 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

Keywords

Optimal stopping
Stochastic control
Variational inequality
Viscosity solution

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

Access to Document

10.1007/s00245-003-0763-9

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Koike, S., & Morimoto, H. (2003). Variational inequalities for leavable bounded-velocity control. Applied Mathematics and Optimization, 48(1), 1-20. https://doi.org/10.1007/s00245-003-0763-9

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