Existence and Uniqueness of Viscosity Solutions for Nonlinear Variational Inequalities Associated with Mixed Control

被引：0
作者：
Shipei Hu
机构：
[1] Jiaxing University,Department of Mathematics
来源：
Chinese Annals of Mathematics, Series B | 2020年 / 41卷
关键词：
Optimal stopping; Mixed control; Variational inequality; Viscosity solution; 49J20; 49L25; 60G40; 93E20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The author investigates the nonlinear parabolic variational inequality derived from the mixed stochastic control problem on finite horizon. Supposing that some sufficiently smooth conditions hold, by the dynamic programming principle, the author builds the Hamilton-Jacobi-Bellman (HJB for short) variational inequality for the value function. The author also proves that the value function is the unique viscosity solution of the HJB variational inequality and gives an application to the quasi-variational inequality.
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页码：793 / 820
页数：27
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