抄録
We study the variational inequality for a 1-dimensional linear-quadratic control problem with discretionary stopping. We establish the existence of a unique strong solution via stochastic analysis and the viscosity solution technique. Finally, the optimal policy is shown to exist from the optimality conditions.
| 本文言語 | English |
|---|---|
| ページ（範囲） | 261-277 |
| ページ数 | 17 |
| ジャーナル | Discrete and Continuous Dynamical Systems - Series B |
| 巻 | 8 |
| 号 | 2 |
| DOI | |
| 出版ステータス | Published - 2007 9月 |
| 外部発表 | はい |
ASJC Scopus subject areas
- 離散数学と組合せ数学
- 応用数学