On the dynamic programming inequalities associated with the deterministic optimal stopping problem in discrete and continuous time
Author:
Publisher
Informa UK Limited
Subject
Control and Optimization,Computer Science Applications,Signal Processing,Analysis
Link
http://www.tandfonline.com/doi/pdf/10.1080/01630568108816098
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3. Bensoussan, A. and Lions, J.L. 1978. “Applications des Inèquations Variationnelles en Controle Stochastique”. Paris: Dunod.
4. On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups
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1. Asymptotic behavior of the first order obstacle problem;Journal of Differential Equations;1988-10
2. Additive Control of Stochastic Linear Systems with Finite Horizon;SIAM Journal on Control and Optimization;1985-11
3. Approximate solutions of the bellman equation of deterministic control theory;Applied Mathematics & Optimization;1984-02
4. Optimal Switching for Ordinary Differential Equations;SIAM Journal on Control and Optimization;1984-01
5. On a system of first-order quasi-variational inequalities connected with the optimal switching problem;Systems & Control Letters;1983-07
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