Title :
Optimal stopping time of a piecewise-deterministic process
Author :
Lenhart, S.M. ; Liao, Y.C.
Author_Institution :
University of Tennessee, Knoxville, TN
Abstract :
This paper concerns the optimal stopping time problem for a piecewise deterministic process. The associated dynamic programming equation is a variational inequality with integral and first order differential terms Our main results are W1,??-existence results and probabilistic representations for the solutions of these variational inequalities in bounded domains and in IRn.
Keywords :
Character generation; Differential equations; Dynamic programming; Integral equations; Integrodifferential equations; Mathematics; Optimal control; PD control; Process control; State-space methods;
Conference_Titel :
Decision and Control, 1984. The 23rd IEEE Conference on
Conference_Location :
Las Vegas, Nevada, USA
DOI :
10.1109/CDC.1984.272383