2020-04-02Zeitschriftenartikel DOI: 10.18452/23708
Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a linear-quadratic stochastic control problem with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for semi-continuous viscosity sub- and supersolutions for PDEs with singular terminal value. Continuity of the viscosity solution is enough to carry out the verification argument.
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