MISC

2007年9月

A linear-quadratic control problem with discretionary stopping

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B
  • Shigeaki Koike
  • ,
  • Hiroaki Morimoto
  • ,
  • Shigeru Sakaguchi

8
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
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000247197300001&DestApp=WOS_CPL
ID情報
  • ISSN : 1531-3492
  • Web of Science ID : WOS:000247197300001

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