A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition

We study a constrained optimal control problem allowing for degenerate coefficients. The coefficients can be random and then the value function is described by a degenerate backward stochastic partial differential equation (BSPDE) with singular terminal condition. For this degenerate BSPDE, we prove the existence and uniqueness of the nonnegative solution.

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Year of publication:	2014-07
Authors:	Horst, Ulrich ; Qiu, Jinniao ; Zhang, Qi
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010936456