Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint

DOI10.1007/S00245-020-09673-4zbMATH Open1470.93164arXiv1809.01972OpenAlexW3014297627MaRDI QIDQ2045151FDOQ2045151

Authors: Ulrich Horst, Xiaonyu Xia 

Publication date: 11 August 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems 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.

Full work available at URL: https://arxiv.org/abs/1809.01972

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zbMATH Keywords

HJB equationviscosity solutionterminal state constraint

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited In (6)

• Portfolio liquidation under factor uncertainty
• Existence and uniqueness of the viscosity solution to some singular HJB equations
• On singular control problems with state constraints and regime-switching: a viscosity solution approach
• Continuity problem for BSDE and IPDE with singular terminal condition
• Title not available (Why is that?)
• Viscosity Solutions Methods for Singular Perturbations in Deterministic and Stochastic Control

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