Uniqueness results for second-order Bellman-Isaacs equations under quadratic growth assumptions and applications

被引：47
作者：
Da Lio, F
Ley, O
机构：
[1] Univ Padua, Dept Math, I-35131 Padua, Italy
[2] Univ Tours, CNRS, UMR 6083, Lab Math & Phys Theor,Fac Sci & Tech, F-37200 Tours, France
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2006年 / 45卷 / 01期
关键词：
degenerate parabolic equations; nonlinear Hamilton; Jacobi equations; nonlinear Isaacs equations; viscosity solutions; unbounded solutions; maximum principle; linear quadratic problems;
D O I：
10.1137/S0363012904440897
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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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页码：74 / 106
页数：33
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