Variational inequalities for leavable bounded-velocity control (Q1404795)
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scientific article; zbMATH DE number 1969567
| Language | Label | Description | Also known as |
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| English | Variational inequalities for leavable bounded-velocity control |
scientific article; zbMATH DE number 1969567 |
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Variational inequalities for leavable bounded-velocity control (English)
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24 August 2003
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This paper regards the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. The existence of a strong solution is established by using the viscosity solution techniques. It is shown that the optimal policy exists from the optimality conditions in the variational inequality.
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Variational inequality
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Viscosity solution
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Stochastic control
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Optimal stopping
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