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 |
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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
}
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
VL - 48
SP - 1
EP - 20
JO - Applied Mathematics and Optimization
JF - Applied Mathematics and Optimization
SN - 0095-4616
IS - 1
ER -