On the dynamic programming inequalities associated with the deterministic optimal stopping problem in discrete and continuous time
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in Numerical Functional Analysis and Optimization
- Vol. 3 (4) , 425-450
- https://doi.org/10.1080/01630568108816098
Abstract
We consider a discrete time version of the dynamic programming inequalities associated with the optimal stopping of a deterministic process. Their maximum solutions are shown to converge uniformly, as the discre tization step δt 0+,to the maximum solution of the continuous time formulation. A constructive proof of a result of J.L. Menaldi ([8]) on the existence of a Lipschitz solution of a 1st order variational inequality is also given.Keywords
This publication has 2 references indexed in Scilit:
- On the Convergence of the Discrete Time Dynamic Programming Equation for General SemigroupsSIAM Journal on Control and Optimization, 1982
- Problèmes aux limites pour les équations aux dérivées partielles du premier ordre à coefficients réels; théorèmes d'approximation; application à l'équation de transportAnnales Scientifiques de lʼÉcole Normale Supérieure, 1970