Open AccessUniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems
Author(s) -
Monica Motta,
Caterina Sartori
Publication year - 2008
Publication title -
discrete and continuous dynamical systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.289
H-Index - 70
eISSN - 1553-5231
pISSN - 1078-0947
DOI - 10.3934/dcds.2008.21.513
Subject(s) - uniqueness , mathematics , boundary value problem , degenerate energy levels , dirichlet distribution , viscosity solution , mathematical analysis , dirichlet boundary condition , singular solution , nonlinear system , dirichlet problem , viscosity , boundary (topology) , maximum principle , optimal control , mathematical optimization , physics , quantum mechanics
We establish uniqueness of viscosity solutions for some boundary value problems arising from stochastic optimal control problems with unbounded, possibly singular, controls. They involve a nonlinear degenerate second order Bellman-Isaacs equation and mixed boundary conditions (Dirichlet, generalized Dirichlet and state constrained conditions)