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On unbounded solutions of Bellman's equation associated with optimal switching control problems with state constraints

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Abstract

We study a quasi-variational inequality system with unbounded solutions. It represents the Bellman equation associated with an optimal switching control problem with state constraints arising from production engineering. We show that the optimal cost is the unique viscosity solution of the system.

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References

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Authors and Affiliations

  1. Instituto de Matemática Beppo Levi, Facultad de Ciencias Exactas, Ingeniería y Agrimensura, Universidad Nacional de Rosario, Avda. Pellegrini 250, 2000, Rosario, Argentina

    R. L. V. Gonzalez

  2. INRIA Rocquencourt, 78153, Le Chesnay Cedex, France

    E. Rofman

Authors
  1. R. L. V. Gonzalez
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  2. E. Rofman
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Additional information

Communicated by A. Bensoussan

This work was supported by the National Research Council of Argentina, Grant No. PID-BID 213.

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Gonzalez, R.L.V., Rofman, E. On unbounded solutions of Bellman's equation associated with optimal switching control problems with state constraints. Appl Math Optim 31, 1–17 (1995). https://doi.org/10.1007/BF01182554

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  • DOI: https://doi.org/10.1007/BF01182554

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