Discontinuous solutions of deterministic optimal stopping time problems
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Publication:3766387
DOI10.1051/M2AN/1987210405571zbMath0629.49017OpenAlexW1605799302MaRDI QIDQ3766387
Publication date: 1987
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/193514
viscosity solutiondiscontinuous obstacleBellman variational inequalitydeterministic optimal stopping time problemminimum exit time from a domain
Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Nonlinear first-order PDEs (35F20) Methods involving semicontinuity and convergence; relaxation (49J45) Stopping times; optimal stopping problems; gambling theory (60G40)
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- Viscosity Solutions of Hamilton-Jacobi Equations
- On existence and uniqueness of solutions of Hamilton-Jacobi equations
- Optimal Control with State-Space Constraint. II
- Remarks on Hamilton-Jacobi equations with measurable time-dependent Hamiltonians
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