A multidimensional singular stochastic control problem on a finite time horizon

Marcin Boryc, Łukasz Kruk

Abstract


A singular stochastic control problem in n dimensions with timedependent coefficients on a finite time horizon is considered. We show that the value function for this problem is a generalized solution of the corresponding HJB equation with locally bounded second derivatives with respect to the space variables and the first derivative with respect to time. Moreover, we prove that an optimal control exists and is unique.

Keywords


Singular stochastic control; generalized derivative; HJB equation; optimal control

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References


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DOI: http://dx.doi.org/10.17951/a.2015.69.1.23
Data publikacji: 2015-11-30 09:21:11
Data złożenia artykułu: 2015-09-03 12:17:00

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