Hamilton–Jacobi theory for a generalized optimal stopping time problem
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Publication:4264296
DOI10.1016/S0362-546X(97)00631-7zbMath0960.49022OpenAlexW1996368488MaRDI QIDQ4264296
Publication date: 14 August 2000
Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0362-546x(97)00631-7
nonsmooth analysisHamilton-Jacobi equationoptimal stopping time problemvalue function and verification theorem
Dynamic programming in optimal control and differential games (49L20) Nonsmooth analysis (49J52) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Qualitative properties of trajectories of control systems: a survey
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- Optimization and nonsmooth analysis
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- Mean Value Inequalities in Hilbert Space
- Lower Semicontinuous Solutions of Hamilton–Jacobi–Bellman Equations
- Sufficient Conditions for Optimality and the Justification of the Dynamic Programming Method
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