Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications
Analysis of PDEs
2010-02-12 v1
Abstract
In this paper, we prove a comparison result between semicontinuous viscosity sub and supersolutions growing at most quadratically of second-order degenerate parabolic Hamilton-Jacobi-Bellman and Isaacs equations. As an application, we characterize the value function of a finite horizon stochastic control problem with unbounded controls as the unique viscosity solution of the corresponding dynamic programming equation.
Keywords
Cite
@article{arxiv.1002.2373,
title = {Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications},
author = {Francesca Da Lio and Olivier Ley},
journal= {arXiv preprint arXiv:1002.2373},
year = {2010}
}