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| HAL : hal-00455993, version 1 |
| arXiv : 1002.2373 |
| DOI : 10.1137/S0363012904440897 |
| Fiche détaillée |  Récupérer au format |
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| SIAM J. Control Optim. 45, 1 (2006) 74-106 |
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| Uniqueness Results for Second Order Bellman-Isaacs Equations under Quadratic Growth Assumptions and Applications |
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| Francesca Da Lio 1Olivier Ley 2, 3 |
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| (2006) |
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| 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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| 1 : | Dipartimento di Matematica Pura ed Applicata |
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Università degli studi di Padova |
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| 2 : | Laboratoire de Mathématiques et Physique Théorique (LMPT) |
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CNRS : UMR6083 – Université François Rabelais - Tours |
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| 3 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – INSA Rennes – Université Rennes II |
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| Domaine | : | Mathématiques/Equations aux dérivées partielles |
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| degenerate parabolic equations – nonlinear Hamilton-Jacobi equations – nonlinear Isaacs equations – viscosity solutions – unbounded solutions – maximum principle – Linear Quadratic problems. |
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| hal-00455993, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00455993 | |
| oai:hal.archives-ouvertes.fr:hal-00455993 | |
| Contributeur : Olivier Ley | |
| Soumis le : Jeudi 11 Février 2010, 15:05:05 | |
| Dernière modification le : Vendredi 19 Février 2010, 15:56:53 | |
