Abstract
AbstractThis 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.
Funder
Humboldt-Universität zu Berlin
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
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