Uniqueness of solutions for second order Bellman-Isaacs equations with mixed boundary conditions
Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Degenerate elliptic equations (35J70) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40)
In this paper, the authors study the following mixed boundary value problem \[ \begin{aligned} G(x,u,Du,D^2u)=0 &\quad\text{in } {\mathcal O},\\ u=\psi\;\text{ or }\;G(x,u,Du,D^2u)=0 &\quad\text{on } \Gamma_1,\\ G(x,u,Du,D^2u)\leq0 &\quad\text{on } \Gamma_2,\\ u=\psi &\quad\text{on } \Gamma_3, \end{aligned} \] where \(\mathcal O\) is an open set of \({\mathbb R}^n\), which is not necessarily bounded, \(\Gamma_1,\Gamma_2,\Gamma_3\) are pairwise disjoint and \(\Gamma_1\cup\Gamma_2\cup\Gamma_3=\partial{\mathcal O}\), and finally \(G\) is a second order degenerate elliptic operator of Bellman-Isaacs type. The equation and the boundary conditions have to be interpreted in the viscosity sense. Such a problem may arise from exit or stopping time stochastic differential games or optimal control problems with constraints. For such a problem, the authors give a comparison and uniqueness result as well as an existence result. The novelty of those results is due to the presence of the three different boundary conditions in connection with the fact that \(G\) is a second order operator.
- Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
- Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems
- Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control
- Semicontinuous viscosity solutions to mixed boundary value problems with degenerate convex Hamiltonians
- Hamilton-Jacobi Equations With Singular Boundary Conditions on a free Boundary and Applications to Differential Games
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