Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint

Ulrich Horst and Xiaonyu Xia

Papers from arXiv.org

Abstract: This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems 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.

Date: 2018-09, Revised 2020-04
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1809.01972

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