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

Access to Document

10.1007/s00245-003-0763-9

Cite this

@article{dca62672b3f8484996c18f84ebdfcaa7,

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",

year = "2003",

month = dec,

day = "1",

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

language = "English",

volume = "48",

pages = "1--20",

journal = "Applied Mathematics and Optimization",

issn = "0095-4616",

publisher = "Springer New York",

number = "1",

}

TY - JOUR

T1 - Variational inequalities for leavable bounded-velocity control

AU - Koike, Shigeaki

AU - Morimoto, Hiroaki

PY - 2003/12/1

Y1 - 2003/12/1

N2 - 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.

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

UR - http://www.scopus.com/inward/record.url?scp=1542266696&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=1542266696&partnerID=8YFLogxK

U2 - 10.1007/s00245-003-0763-9

DO - 10.1007/s00245-003-0763-9

M3 - Article

AN - SCOPUS:1542266696

SN - 0095-4616

VL - 48

SP - 1

EP - 20

JO - Applied Mathematics and Optimization

JF - Applied Mathematics and Optimization

IS - 1

ER -

Variational inequalities for leavable bounded-velocity control

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this