Uniqueness of unbounded viscosity solutions for impulse control problem

被引：4

作者：

Ramaswamy, M

Dharmatti, S

机构：

[1] IISc, TIFR Math Program, TIFR Ctr, Bangalore 560012, Karnataka, India

[2] Indian Inst Sci, Dept Math, Bangalore 560012, Karnataka, India

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2006年 / 315卷 / 02期

关键词：

dynamic programming principle; viscosity solution; quasivariational inequality; impulse control;

D O I：

10.1016/j.jmaa.2005.07.033

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study here the impulse control problem in infinite as well as finite horizon. We allow the cost functionals and dynamics to be unbounded and hence the value function can possibly be unbounded. We prove that the value function is the unique viscosity solution in a suitable subclass of continuous functions, of the associated quasivariational inequality. Our uniqueness proof for the infinite horizon problem uses stopping time problem and for the finite horizon problem, comparison method. However, we assume proper growth conditions on the cost functionals and the dynamics. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：686 / 710

页数：25

共 9 条

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[Anonymous], SIAM J CONTROL OPTIM

[2]

[Anonymous], 1997, Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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