Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint
dc.contributor.author | Horst, Ulrich | |
dc.contributor.author | Xia, Xiaonyu | |
dc.date.accessioned | 2021-11-26T12:06:28Z | |
dc.date.available | 2021-11-26T12:06:28Z | |
dc.date.issued | 2020-04-02 | none |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/24369 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | none |
dc.publisher | Humboldt-Universität zu Berlin | |
dc.rights | (CC BY 4.0) Attribution 4.0 International | ger |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.subject | HJB equation | eng |
dc.subject | Viscosity solution | eng |
dc.subject | Terminal state constraint | eng |
dc.subject.ddc | 510 Mathematik | none |
dc.title | Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint | none |
dc.type | article | |
dc.identifier.urn | urn:nbn:de:kobv:11-110-18452/24369-8 | |
dc.identifier.doi | http://dx.doi.org/10.18452/23708 | |
dc.type.version | publishedVersion | none |
local.edoc.pages | 26 | none |
local.edoc.type-name | Zeitschriftenartikel | |
local.edoc.container-type | periodical | |
local.edoc.container-type-name | Zeitschrift | |
dc.description.version | Peer Reviewed | none |
dc.identifier.eissn | 1432-0606 | |
dcterms.bibliographicCitation.doi | 10.1007/s00245-020-09673-4 | |
dcterms.bibliographicCitation.journaltitle | Applied mathematics & optimization | none |
dcterms.bibliographicCitation.volume | 84 | none |
dcterms.bibliographicCitation.issue | 1 | none |
dcterms.bibliographicCitation.originalpublishername | Springer | none |
dcterms.bibliographicCitation.originalpublisherplace | New York, NY | none |
dcterms.bibliographicCitation.pagestart | 1159 | none |
dcterms.bibliographicCitation.pageend | 1184 | none |
bua.department | Mathematisch-Naturwissenschaftliche Fakultät | none |