Title :
Variational inequalities for combined control and stopping
Author :
Morimoto, Hiroaki
Author_Institution :
Dept. of Math. Sci., Ehime Univ., Matsuyama, Japan
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.
Keywords :
elliptic equations; optimal control; stochastic programming; variational techniques; quasi-variational inequality; stochastic control problem; uniform ellipticity; viscosity solution; Costs; Differential equations; Extraterrestrial measurements; Filtration; Finance; Measurement standards; Motion measurement; Q measurement; Stochastic processes; Viscosity;
Conference_Titel :
Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
Print_ISBN :
0-7803-7924-1
DOI :
10.1109/CDC.2003.1272696
