In this paper we prove a comparison principle between a viscosity sub-and supersolution for a system of quasivariational inequalities and apply it to show that a continuous lower value vector function of an optimal switching-cost control problem is characterized as the minimal, nonnegative, continuo
β¦ LIBER β¦
Optimal control of diffusions: A verification theorem for viscosity solutions
β Scribed by Michael Kohlmann; Peter Renner
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 306 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0167-6911
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