A linear-quadratic control problem with discretionary stopping

Shigeaki Koike, Hiroaki Morimoto, Shigeru Sakaguchi

研究成果: Article

2 引用 (Scopus)

抜粋

We study the variational inequality for a 1-dimensional linear-quadratic control problem with discretionary stopping. We establish the existence of a unique strong solution via stochastic analysis and the viscosity solution technique. Finally, the optimal policy is shown to exist from the optimality conditions.

元の言語English
ページ(範囲)261-277
ページ数17
ジャーナルDiscrete and Continuous Dynamical Systems - Series B
8
発行部数2
DOI
出版物ステータスPublished - 2007 9

ASJC Scopus subject areas

  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

フィンガープリント A linear-quadratic control problem with discretionary stopping' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。

  • これを引用