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In this situation the Hamilton-Jacobi-Bellman (HJB) equation of the value function of the auxiliary problem becomes a coupled system of backward stochastic partial differential equation. In fact, the value function \\(V\\) often does not have the smoothness properties needed to interpret it as a solution to the dynamic programming partial differential equation in the usual (classical) sense; however, in such cases \\(V\\) can be interpreted as a viscosity solution. Here we show the unicity of the viscosity solution and we see that the optimal and the value functions are piecewise linear functions based on some Riccati differential equations. 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