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 |
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Pages (from-to) | 1-20 |
Number of pages | 20 |
Journal | Applied Mathematics and Optimization |
Volume | 48 |
Issue number | 1 |
DOIs | |
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