A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain

MaRDI QIDQ6216200zbMATH OpenFDO

Authors Ruoting Gong, Christian Houdré

Publication date 4 November 2009

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Degenerate parabolic equations (35K65) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Abstract: We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to satisfy the Dynamic Programming Principle. These properties directly lead to the conclusion that the value function is a viscosity solution to the Hamilton-Jacobi-Bellman equation. Uniqueness of the solution is then also established.

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