Characterization of stochastic control with optimal stopping in a Sobolev space

DOI10.1016/J.AUTOMATICA.2013.02.040MaRDI QIDQ522802zbMATH OpenOpenAlexFDO

Authors Xiao Shan Chen, Qingshuo Song, George Yin, Fahuai Yi

Publication date 19 April 2017

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2013.02.040

zbMATH Keywords

optimal stoppingstochastic control[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=generalized+It%EF%BF%BD%EF%BF%BD+formula&go=Go generalized It�� formula]weak verification theorem

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)

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Cited in

(2)

• Probabilistic characteristics of one stopping rule for steady control
• Optimal retirement under partial information

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