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Variational Inequalities for Leavable Bounded-Velocity Control |
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| Authors: | Koike and Morimoto |
| Affiliation: | (1) Department of Mathematics, Faculty of Science, Saitama University, Saitama 338-8570, Japan skoike@rimath.saitama-u.ac.jp, JP;(2) Department of Mathematical Sciences, Faculty of Science, Ehime University, Matsuyama 790-0826, Japan morimoto@SCI.sci.ehime-u.ac.jp , JP |
| Abstract: | We study the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. We establish the existence of a strong solution by using the viscosity solution techniques. The optimal policy is shown to exist from the optimality conditions in the variational inequality. |
| Keywords: | . Variational inequality Viscosity solution Stochastic control Optimal stopping. AMS Classification. 93E20 60G40. |
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