Characterization of stochastic control with optimal stopping in a Sobolev space

DOI10.1016/j.automatica.2013.02.040zbMath1360.93769OpenAlexW2013980050MaRDI QIDQ522802

George Yin, Xiao Shan Chen, Qingshuo Song, Fa-huai Yi

Publication date: 19 April 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.02.040

zbMATH Keywords

optimal stoppingstochastic controlgeneralized Itô formulaweak verification theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25) Portfolio theory (91G10)

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