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arXiv · 1002.2373

Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications

Francesca Da Lio·Olivier Ley
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Abstract

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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Francesca Da Lio, Olivier Ley. 2010-02-11. Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications. https://doi.org/10.1137/s0363012904440897

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