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VARIATIONAL INEQUALITIES OR COMBINED CONTROL AND STOPPING.

Authors :
Morimoto, Hiroaki
Source :
SIAM Journal on Control & Optimization. 2003, Vol. 42 Issue 2, p686-708. 23p.
Publication Year :
2003

Abstract

We study the variational inequality associated with the combined stochastic control problem and establish the existence of a unique viscosity solution without uniform ellipticity. An application to the quasi-variational inequality is given. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*STOCHASTIC processes
*VISCOSITY solutions
*QUASIVARIETIES (Universal algebra)
*MATHEMATICAL functions
*MATHEMATICAL analysis
*DIFFERENTIAL equations

Details

Language :
English
ISSN :
03630129
Volume :
42
Issue :
2
Database :
Academic Search Index
Journal :
SIAM Journal on Control & Optimization
Publication Type :
Academic Journal
Accession number :
12188496
Full Text :
https://doi.org/10.1137/S0363012901369041
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