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| Existence and Uniqueness of Viscosity Solutions for Nonlinear Variational Inequalities Associated with Mixed Control |
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Citation： |
Shipei HU.Existence and Uniqueness of Viscosity Solutions for Nonlinear Variational Inequalities Associated with Mixed Control[J].Chinese Annals of Mathematics B,2020,41(5):793~820 |
| Page view： 563
Net amount： 467 |
Authors： |
Shipei HU; |
Foundation： |
This work was supported by the Fund of China Scholarship Council (No. 201806360222) |
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| Abstract： |
The author investigates the nonlinear parabolic variational inequality derived from the mixed stochastic control problem on finite horizon. Supposing that some suffi-ciently 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. |
Keywords： |
Optimal stopping, Mixed control, Variational inequality, Viscosity solution |
Classification： |
49J20, 49L25, 60G40, 93E20 |
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