We consider mixed control problems for diffusion processes, i.e. problems which involve both optimal control and stopping. The running reward is assumed to be smooth, but the stopping reward need only be semicontinuous. We show that, under suitable conditions, the value function w has the same regularity as the final reward g, i.e. w is lower or upper semicontinuous if g is. Furthermore, when g is l.s.c., we prove that the value function is a viscosity solution of the associated variational inequality.
MIXED OPTIMAL STOPPING AND STOCHASTIC CONTROL PROBLEMS WITH SEMICONTINUOUS FINAL REWARD FOR DIFFUSION PROCESSES / Ceci, Claudia; Bassan, B.. - In: STOCHASTICS AND STOCHASTICS REPORTS. - ISSN 1045-1129. - 76:(2004), pp. 323-337.
MIXED OPTIMAL STOPPING AND STOCHASTIC CONTROL PROBLEMS WITH SEMICONTINUOUS FINAL REWARD FOR DIFFUSION PROCESSES
CECI, Claudia;
2004
Abstract
We consider mixed control problems for diffusion processes, i.e. problems which involve both optimal control and stopping. The running reward is assumed to be smooth, but the stopping reward need only be semicontinuous. We show that, under suitable conditions, the value function w has the same regularity as the final reward g, i.e. w is lower or upper semicontinuous if g is. Furthermore, when g is l.s.c., we prove that the value function is a viscosity solution of the associated variational inequality.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.