On the dynamic programming inequalities associated with the deterministic optimal stopping problem in discrete and continuous time

DOI10.1080/01630568108816098zbMath0476.49021OpenAlexW1968357704MaRDI QIDQ3933529

Italo Capuzzo-Dolcetta, Michele Matzeu

Publication date: 1981

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01630568108816098

zbMATH Keywords

dynamic programming inequalitiesdeterministic optimal stopping problem

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) General (adjoints, conjugates, products, inverses, domains, ranges, etc.) (47A05)

Related Items (5)

Asymptotic behavior of the first order obstacle problem ⋮ Discrete dynamic programming and viscosity solutions of the Bellman equation ⋮ On a system of first-order quasi-variational inequalities connected with the optimal switching problem ⋮ Approximate solutions of the Bellman equation of deterministic control theory ⋮ On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming

Cites Work

• On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups
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