Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Physical Sciences and Mathematics
On The Optimal Stopping Time Problem For Degenerate Diffusions, J. L. Menaldi
On The Optimal Stopping Time Problem For Degenerate Diffusions, J. L. Menaldi
Mathematics Faculty Research Publications
In this paper we give a characterization of the optimal cost of a stopping time problem as the maximum solution of a variational inequality without coercivity. Some properties of continuity for the optimal cost are also given.
On The Optimal Impulse Control Problem For Degenerate Diffusions, J. L. Menaldi
On The Optimal Impulse Control Problem For Degenerate Diffusions, J. L. Menaldi
Mathematics Faculty Research Publications
In this paper, we give a characterization of the optimal cost of an impulse control problem as the maximum solution of a quasi-variational inequality without assuming nondegeneracy. An estimate of the velocity of uniform convergence of the sequence of stopping time problems associated with the impulse control problem is given.