Variational Inequalities for Combined Control and Stopping
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Publication:4443001
DOI10.1137/S0363012901369041zbMath1042.49031MaRDI QIDQ4443001
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
49J40: Variational inequalities
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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