A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain
Probability
2017-10-24 v3
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.
Cite
@article{arxiv.0911.0956,
title = {A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain},
author = {Ruoting Gong and Christian Houdré},
journal= {arXiv preprint arXiv:0911.0956},
year = {2017}
}
Comments
33 pages