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.
|ジャーナル||Discrete and Continuous Dynamical Systems - Series B|
|出版物ステータス||Published - 2007 9|
ASJC Scopus subject areas
- Discrete Mathematics and Combinatorics
- Applied Mathematics