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2020-04-02Zeitschriftenartikel DOI: 10.18452/23708
Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint
dc.contributor.authorHorst, Ulrich
dc.contributor.authorXia, Xiaonyu
dc.date.accessioned2021-11-26T12:06:28Z
dc.date.available2021-11-26T12:06:28Z
dc.date.issued2020-04-02none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/24369
dc.description.abstractThis 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.eng
dc.language.isoengnone
dc.publisherHumboldt-Universität zu Berlin
dc.rights(CC BY 4.0) Attribution 4.0 Internationalger
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectHJB equationeng
dc.subjectViscosity solutioneng
dc.subjectTerminal state constrainteng
dc.subject.ddc510 Mathematiknone
dc.titleContinuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraintnone
dc.typearticle
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/24369-8
dc.identifier.doihttp://dx.doi.org/10.18452/23708
dc.type.versionpublishedVersionnone
local.edoc.pages26none
local.edoc.type-nameZeitschriftenartikel
local.edoc.container-typeperiodical
local.edoc.container-type-nameZeitschrift
dc.description.versionPeer Reviewednone
dc.identifier.eissn1432-0606
dcterms.bibliographicCitation.doi10.1007/s00245-020-09673-4
dcterms.bibliographicCitation.journaltitleApplied mathematics & optimizationnone
dcterms.bibliographicCitation.volume84none
dcterms.bibliographicCitation.issue1none
dcterms.bibliographicCitation.originalpublishernameSpringernone
dcterms.bibliographicCitation.originalpublisherplaceNew York, NYnone
dcterms.bibliographicCitation.pagestart1159none
dcterms.bibliographicCitation.pageend1184none
bua.departmentMathematisch-Naturwissenschaftliche Fakultätnone

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