A linear-quadratic control problem with discretionary stopping

被引：0

作者：

Koike, Shigeaki ^{[1
]}

Morimoto, Hiroaki

Sakaguchi, Shigeru

机构：

[1] Saitama Univ, Dept Math, Saitama 3388570, Japan

[2] Ehime Univ, Dept Math, Matsuyama, Ehime 7908577, Japan

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2007年 / 8卷 / 02期

关键词：

viscosity solution; stopping time; linear-quadratic control;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study a 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.

引用

页码：261 / 277

页数：17

共 10 条

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