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UNIQUENESS RESULTS FOR BOUNDARY VALUE PROBLEMS ARISING FROM FINITE FUEL AND OTHER SINGULAR AND UNBOUNDED STOCHASTIC CONTROL PROBLEMS

By Monica Motta and Caterina Sartori

Abstract

(Communicated by Alberto Bressan) Abstract. 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). 1. Introduction. In this pape

Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.186.8563
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