On a system of first-order quasi-variational inequalities connected with the optimal switching problem

DOI10.1016/0167-6911(83)90009-9zbMath0521.49008OpenAlexW2052770966MaRDI QIDQ1054992

Michele Matzeu, José Luis Menaldi, Italo Capuzzo-Dolcetta

Publication date: 1983

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(83)90009-9

zbMATH Keywords

iterative methodEuler schemeBellman equationsdeterministic optimal switchingdiscrete- time optimal stopping problemfirst-order quasi-variational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for initial value problems involving ordinary differential equations (65L05) Discrete approximations in optimal control (49M25)

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Cites Work

• On a system of first-order quasi-variational inequalities connected with the optimal switching problem
• Le problème de temps d'arret optimal déterministe et l'inéquation variationnelle du premier ordre associee
• Le problème de contrôle impulsionnel optimal déterministe et l'inéquation quasi-variationnelle du premier ordre associee
• Inéquations variationnelles et quasivariationnelles hyperboliques du premier ordre
• On the dynamic programming inequalities associated with the deterministic optimal stopping problem in discrete and continuous time
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