Variational inequalities for leavable bounded-velocity control

Shigeaki Koike, Hiroaki Morimoto

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 languageEnglish
Pages (from-to)1-20
Number of pages20
JournalApplied Mathematics and Optimization
Volume48
Issue number1
DOIs
Publication statusPublished - 2003 Dec 1
Externally publishedYes

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Velocity control
Variational Inequalities
Viscosity
Viscosity Solutions
Strong Solution
Optimal Policy
Optimality Conditions
Control Problem

Keywords

  • Optimal stopping
  • Stochastic control
  • Variational inequality
  • Viscosity solution

ASJC Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

Cite this

Variational inequalities for leavable bounded-velocity control. / Koike, Shigeaki; Morimoto, Hiroaki.

In: Applied Mathematics and Optimization, Vol. 48, No. 1, 01.12.2003, p. 1-20.

Research output: Contribution to journal › Article

Koike, S & Morimoto, H 2003, 'Variational inequalities for leavable bounded-velocity control', Applied Mathematics and Optimization, vol. 48, no. 1, pp. 1-20. https://doi.org/10.1007/s00245-003-0763-9
Koike S, Morimoto H. Variational inequalities for leavable bounded-velocity control. Applied Mathematics and Optimization. 2003 Dec 1;48(1):1-20. https://doi.org/10.1007/s00245-003-0763-9
Koike, Shigeaki ; Morimoto, Hiroaki. / Variational inequalities for leavable bounded-velocity control. In: Applied Mathematics and Optimization. 2003 ; Vol. 48, No. 1. pp. 1-20.
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