Deterministic Impulse Control Problems

We prove that the optimal cost function of a deterministic impulse control problem is the unique viscosity solution of a first-order Hamilton-Jacobi quasi-variational inequality in $\mathbb{R}^N $.

Saved in:
Bibliographic Details
Published inSIAM journal on control and optimization Vol. 23; no. 3; pp. 419 - 432
Main Author Barles, G.
Format Journal Article
LanguageEnglish
Published Philadelphia Society for Industrial and Applied Mathematics 01.05.1985
Subjects
Dynamic programming
Inequality
Nonlinear equations
Viscosity
Online AccessGet full text

Cover

More Information
Summary:We prove that the optimal cost function of a deterministic impulse control problem is the unique viscosity solution of a first-order Hamilton-Jacobi quasi-variational inequality in $\mathbb{R}^N $.
ISSN:0363-0129
1095-7138
DOI:10.1137/0323027