A remark on an equation of dynamic programming

DOI10.1109/TAC.1981.1102772zbMath0493.49007OpenAlexW2103869815MaRDI QIDQ3955968

Alain Bensoussan

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1981.1102772

zbMATH Keywords

number of solutionsdiffusion processimpulse controlstopping timesquasi-variational inequality

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

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