Instytut Matematyczny Polskiej Akademii Nauk / Institute of Mathematics / Publishing house / Journals and Serials / Annales Polonici Mathematici / All issues

Abstract

We consider a finite-time stochastic drift control problem under the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the resulting parabolic Hamilton–Jacobi–Bellman equation has a classical solution. In fact, we consider an even more general family of semilinear equations, which might be helpful in solving other control or game problems. Not only is the existence result proved, but also a recursive procedure for finding a solution resulting from a fixed-point argument is provided.