2007年9月
A linear-quadratic control problem with discretionary stopping
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B
- ,
- ,
- 巻
- 8
- 号
- 2
- 開始ページ
- 261
- 終了ページ
- 277
- 記述言語
- 英語
- 掲載種別
- 出版者・発行元
- AMER INST MATHEMATICAL SCIENCES
We study a the variational inequality for a 1-dimensional linear-quadratic control problem with discretionary stopping. We establish the existence of a unique strong solution via stochastic analysis and the viscosity solution technique. Finally, the optimal policy is shown to exist from the optimality conditions.
- リンク情報
- ID情報
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- ISSN : 1531-3492
- Web of Science ID : WOS:000247197300001