Article2003

Variational Inequalities for Combined Control and Stopping

23 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Optimization and Variational Analysis

Abstract

We study the variational inequality associated with the combined stochastic control problem and establish the existence of a unique viscosity solution without uniform ellipticity. An application to the quasi-variational inequality is given.

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2005Controlled Markov Processes and Viscosity Solutions 1994Controlled markov processes and viscosity solutions 2000Utility Maximization with Discretionary Stopping 1982Stochastic Control by Functional Analysis Methods 1984Dynkin games and martingale methods 1980On the Optimal Impulse Control Problem for Degenerate Diffusions 1980On the Optimal Stopping Time Problem for Degenerate Diffusions

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