Variational inequalities for leavable bounded-velocity control

Shigeaki Koike, Hiroaki Morimoto

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

Keywords

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

ASJC Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Variational inequalities for leavable bounded-velocity control'. Together they form a unique fingerprint.

Cite this