2007, 8(2): 261-277. doi: 10.3934/dcdsb.2007.8.261

A linear-quadratic control problem with discretionary stopping

1. 

Department of Mathematics, Saitama University, 255 Shimo-Okubo, Urawa, Saitama 338-8570

2. 

Department of Mathematics, Ehime University, Matsuyama, 790-8577, Japan, Japan

Received  September 2005 Revised  March 2007 Published  June 2007

We study the variational inequality for a 1-dimensional linear-quadratic control problem with discretionary stopping. We establish the existence of a unique strong solution via stochastic analysis and the viscosity solution technique. Finally, the optimal policy is shown to exist from the optimality conditions.
Citation: Shigeaki Koike, Hiroaki Morimoto, Shigeru Sakaguchi. A linear-quadratic control problem with discretionary stopping. Discrete & Continuous Dynamical Systems - B, 2007, 8 (2) : 261-277. doi: 10.3934/dcdsb.2007.8.261
[1]

Roberta Fabbri, Russell Johnson, Sylvia Novo, Carmen Núñez. On linear-quadratic dissipative control processes with time-varying coefficients. Discrete & Continuous Dynamical Systems - A, 2013, 33 (1) : 193-210. doi: 10.3934/dcds.2013.33.193

[2]

Russell Johnson, Carmen Núñez. Remarks on linear-quadratic dissipative control systems. Discrete & Continuous Dynamical Systems - B, 2015, 20 (3) : 889-914. doi: 10.3934/dcdsb.2015.20.889

[3]

Hongyan Yan, Yun Sun, Yuanguo Zhu. A linear-quadratic control problem of uncertain discrete-time switched systems. Journal of Industrial & Management Optimization, 2017, 13 (1) : 267-282. doi: 10.3934/jimo.2016016

[4]

Galina Kurina, Sahlar Meherrem. Decomposition of discrete linear-quadratic optimal control problems for switching systems. Conference Publications, 2015, 2015 (special) : 764-774. doi: 10.3934/proc.2015.0764

[5]

Jianhui Huang, Xun Li, Jiongmin Yong. A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Mathematical Control & Related Fields, 2015, 5 (1) : 97-139. doi: 10.3934/mcrf.2015.5.97

[6]

Georg Vossen, Stefan Volkwein. Model reduction techniques with a-posteriori error analysis for linear-quadratic optimal control problems. Numerical Algebra, Control & Optimization, 2012, 2 (3) : 465-485. doi: 10.3934/naco.2012.2.465

[7]

Walter Alt, Robert Baier, Matthias Gerdts, Frank Lempio. Error bounds for Euler approximation of linear-quadratic control problems with bang-bang solutions. Numerical Algebra, Control & Optimization, 2012, 2 (3) : 547-570. doi: 10.3934/naco.2012.2.547

[8]

Henri Bonnel, Ngoc Sang Pham. Nonsmooth optimization over the (weakly or properly) Pareto set of a linear-quadratic multi-objective control problem: Explicit optimality conditions. Journal of Industrial & Management Optimization, 2011, 7 (4) : 789-809. doi: 10.3934/jimo.2011.7.789

[9]

Jiongmin Yong. A deterministic linear quadratic time-inconsistent optimal control problem. Mathematical Control & Related Fields, 2011, 1 (1) : 83-118. doi: 10.3934/mcrf.2011.1.83

[10]

Martino Bardi. Explicit solutions of some linear-quadratic mean field games. Networks & Heterogeneous Media, 2012, 7 (2) : 243-261. doi: 10.3934/nhm.2012.7.243

[11]

Anna Maria Cherubini, Giorgio Metafune, Francesco Paparella. On the stopping time of a bouncing ball. Discrete & Continuous Dynamical Systems - B, 2008, 10 (1) : 43-72. doi: 10.3934/dcdsb.2008.10.43

[12]

Tyrone E. Duncan. Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions. Discrete & Continuous Dynamical Systems - A, 2015, 35 (11) : 5435-5445. doi: 10.3934/dcds.2015.35.5435

[13]

Xingwu Chen, Jaume Llibre, Weinian Zhang. Averaging approach to cyclicity of hopf bifurcation in planar linear-quadratic polynomial discontinuous differential systems. Discrete & Continuous Dynamical Systems - B, 2017, 22 (10) : 3953-3965. doi: 10.3934/dcdsb.2017203

[14]

Valery Y. Glizer, Oleg Kelis. Singular infinite horizon zero-sum linear-quadratic differential game: Saddle-point equilibrium sequence. Numerical Algebra, Control & Optimization, 2017, 7 (1) : 1-20. doi: 10.3934/naco.2017001

[15]

Alain Bensoussan, Shaokuan Chen, Suresh P. Sethi. Linear quadratic differential games with mixed leadership: The open-loop solution. Numerical Algebra, Control & Optimization, 2013, 3 (1) : 95-108. doi: 10.3934/naco.2013.3.95

[16]

Shanjian Tang, Fu Zhang. Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations. Discrete & Continuous Dynamical Systems - A, 2015, 35 (11) : 5521-5553. doi: 10.3934/dcds.2015.35.5521

[17]

Yoshikazu Giga, Hirotoshi Kuroda. A counterexample to finite time stopping property for one-harmonic map flow. Communications on Pure & Applied Analysis, 2015, 14 (1) : 121-125. doi: 10.3934/cpaa.2015.14.121

[18]

Tijana Levajković, Hermann Mena, Amjad Tuffaha. The stochastic linear quadratic optimal control problem in Hilbert spaces: A polynomial chaos approach. Evolution Equations & Control Theory, 2016, 5 (1) : 105-134. doi: 10.3934/eect.2016.5.105

[19]

Chuandong Li, Fali Ma, Tingwen Huang. 2-D analysis based iterative learning control for linear discrete-time systems with time delay. Journal of Industrial & Management Optimization, 2011, 7 (1) : 175-181. doi: 10.3934/jimo.2011.7.175

[20]

Sie Long Kek, Kok Lay Teo, Mohd Ismail Abd Aziz. Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences. Numerical Algebra, Control & Optimization, 2012, 2 (1) : 207-222. doi: 10.3934/naco.2012.2.207

2016 Impact Factor: 0.994

Metrics

  • PDF downloads (0)
  • HTML views (0)
  • Cited by (1)

[Back to Top]