Variational Inequalities for Combined Control and Stopping

DOI10.1137/S0363012901369041MaRDI QIDQ4443001zbMATH OpenOpenAlexFDO

Authors Hiroaki Morimoto

Publication date 8 January 2004

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012901369041

zbMATH Keywords

combined controlquasi-variational inequalityvariational inequalityviscosity solution

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• Variational Inequalities for Combined Control and Stopping Game
• scientific article; zbMATH DE number 1897413
• On a variational inequality associated with a stopping game combined with a control
• scientific article; zbMATH DE number 3934122
• scientific article; zbMATH DE number 4118295

Cited in

(16)

• Variational inequalities for leavable bounded-velocity control
• A leavable bounded-velocity stochastic control problem.
• Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control
• A sequential estimation problem with control and discretionary stopping
• The Dynkin game with regime switching and applications to pricing game options
• Optimal stopping with random maturity under nonlinear expectations
• The stochastic goodwill problem
• On a variational inequality associated with a stopping game combined with a control
• Variational Inequalities for Combined Control and Stopping Game
• Stochastic control of symmetric markov processes and nonlinear variational inequalities
• Nested variational inequalities and related optimal starting–stopping problems
• Existence of value in stochastic differential games of mixed type
• scientific article; zbMATH DE number 4118295 (Why is no real title available?)
• A nonconvex singular stochastic control problem and its related optimal stopping boundaries
• Drift control with discretionary stopping for a diffusion
• Martingale approach to stochastic differential games of control and stopping

This page was built for publication: Variational Inequalities for Combined Control and Stopping

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4443001)