SIAM Journal on Control and Optimization, Vol.48, No.3, 1743-1755, 2009
VARIATIONAL INEQUALITIES AND OPTIMIZATION FOR MARKOV PROCESSES ASSOCIATED WITH SEMI-DIRICHLET FORMS
We consider an optimal stopping problem and an impulsive control for Markov processes associated with semi-Dirichlet forms. We show that the value functions are the maximum solutions of certain variational inequalities. Examples both in finite dimensions and infinite dimensions are given.