Uniqueness of unbounded viscosity solutions for impulse control problem

DOI10.1016/J.JMAA.2005.07.033MaRDI QIDQ819679zbMATH OpenOpenAlexFDO

Authors Mythily Ramaswamy, Sheetal Dharmatti

Publication date 29 March 2006

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.2005.07.033

zbMATH Keywords

viscosity solutionquasivariational inequalitydynamic programming principleimpulse control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25)

Recommendations

• Deterministic minimax impulse control in finite horizon: the viscosity solution approach
• Properties of value functions in impulse control problems
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Deterministic Impulse Control Problems
• Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach

Cites work

• scientific article; zbMATH DE number 3877865 (Why is no real title available?)
• Comparison theorems for viscosity solutions of a system of quasivariational inequalities with application to optimal control with switching costs
• Deterministic Impulse Control Problems
• Optimal Switching for Ordinary Differential Equations
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Systems governed by ordinary differential equations with continuous, switching and impulse controls
• Two Approximations of Solutions of Hamilton-Jacobi Equations
• Zero-sum differential games involving impulse controls

Cited in

(7)

• Joint replenishment and manufacturing activities control in a two stage unreliable supply chain
• Properties of value functions in impulse control problems
• The value of a minimax problem involving impulse control
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Uniqueness of Constrained Viscosity Solutions in Hybrid Control Systems
• Optimal consumption until ruin for an endowment described by an autonomous ODE for an infinite time horizon
• Deterministic minimax impulse control in finite horizon: the viscosity solution approach

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