On a variational inequality associated with a stopping game combined with a control
DOI10.1080/10451120212867zbMath1019.49018OpenAlexW1975092427MaRDI QIDQ3148776
Kenji Kamizono, Hiroaki Morimoto
Publication date: 5 September 2003
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10451120212867
Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (6)
Cites Work
- Dynkin games and martingale methods
- On the Optimal Stopping Time Problem for Degenerate Diffusions
- On the Optimal Impulse Control Problem for Degenerate Diffusions
- User’s guide to viscosity solutions of second order partial differential equations
- Utility Maximization with Discretionary Stopping
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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