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arXiv · 0911.0956

A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain

Ruoting Gong·Christian Houdré
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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.

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Ruoting Gong, Christian Houdré. 2009-11-05. A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain. https://arxiv.org/abs/0911.0956

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