Mayer and optimal stopping stochastic control problems with discontinuous cost

DOI10.1016/j.jmaa.2011.02.039zbMath1215.93150OpenAlexW2085242452MaRDI QIDQ534752

Oana-Silvia Serea, Dan Goreac

Publication date: 10 May 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.02.039

zbMATH Keywords

optimal stoppingstochastic controlHJB equationsoccupational measuresdiscontinuous viscosity solutionHJB variational inequalities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Optimal stochastic control (93E20) Duality theory (optimization) (49N15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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