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Quasi-Variational Inequalities and Ergodic Impulse Control

Lions, Pierre-Louis; Perthame, Benoît (1986), Quasi-Variational Inequalities and Ergodic Impulse Control, SIAM Journal on Control and Optimization, 24, 4, p. 604-615. http://dx.doi.org/10.1137/0324036

Type
Article accepté pour publication ou publié
Date
1986
Journal name
SIAM Journal on Control and Optimization
Volume
24
Number
4
Publisher
SIAM
Pages
604-615
Publication identifier
Metadata
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Author(s)
Lions, Pierre-Louis
Perthame, Benoît cc
Abstract (EN)
In this paper, we solve the general ergodic control problem for reflected diffusion processes and the associated quasi-variational inequalities. Our method relies on some a priori estimates for the solutions of quasi-variational inequalities where the “discount factor” (i.e., the zero order term) is set to 0.
Subjects / Keywords
quasi-variational inequalities; reflected diffusion processes; variational inequalities Neumann conditions; impulse control; ergodic control