Finite fuel problem in nonlinear singular stochastic control

被引：11
|
作者：
Motta, Monica
Sartori, Caterina
机构：
[1] Univ Padua, Dipartimento Matemat Pura & Applicata, I-35131 Padua, Italy
[2] Univ Padua, Dipartimento Metod & Modell Matemat Sci Applicate, I-35131 Padua, Italy
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2007年 / 46卷 / 04期
关键词：
singular stochastic control problems; degenerate parabolic HJB equations; viscosity; solutions; representation formulas;
D O I：
10.1137/050637236
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We investigate, via the dynamic programming approach, a finite fuel nonlinear singular stochastic control problem of Bolza type. We prove that the associated value function is continuous and that its continuous extension to the closure of the domain coincides with the value function of a nonsingular control problem, for which we prove the existence of an optimal control. Moreover, such a continuous extension is characterized as the unique viscosity solution of a quasivariational inequality with suitable boundary conditions of mixed type.
引用
收藏
页码：1180 / 1210
页数：31
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