Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control

DOI10.1007/s11401-020-0234-5zbMath1459.49005OpenAlexW3089473341MaRDI QIDQ1997191

Shipei Hu

Publication date: 1 March 2021

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-020-0234-5

zbMATH Keywords

variational inequalityviscosity solutionoptimal stoppingmixed control

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)

Cites Work

• Mayer and optimal stopping stochastic control problems with discontinuous cost
• Martingale approach to stochastic differential games of control and stopping
• Variational inequalities for leavable bounded-velocity control
• A linear-quadratric control problem with discretionary stopping
• Martingale approach to stochastic control with discretionary stopping
• Optimal Control for Parabolic Variational Inequalities
• Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients
• Viscosity Solutions of Hamilton-Jacobi Equations
• Optimal Control for Variational Inequalities
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal Stopping Problems in Stochastic Control
• Variational Inequalities for Combined Control and Stopping
• Optimal Periodic Control for the Two-Phase Stefan Problem
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item