Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
نویسندگان
چکیده
In this paper, we prove a comparison result between semicontinuous viscosity sub and supersolutions growing at most quadratically of second-order degenerate parabolic Hamilton-Jacobi-Bellman and Isaacs equations. As an application, we characterize the value function of a finite horizon stochastic control problem with unbounded controls as the unique viscosity solution of the corresponding dynamic programming equation.
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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 45 شماره
صفحات -
تاریخ انتشار 2006