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Viscosity solutions of optimal stopping problems

โœ Scribed by Reikvam, Kristin


Book ID
111689179
Publisher
Taylor and Francis Group
Year
1998
Weight
395 KB
Volume
62
Category
Article
ISSN
1045-1129

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Viscosity solutions and optimal control
โœ Pierpaolo Soravia ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 113 KB

We discuss optimal control problems with integral state-control constraints. We rewrite the problem in an equivalent form as an optimal control problem with state constraints for an extended system, and prove that the value function, although possibly discontinuous, is the unique viscosity solution