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

Abstract

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.

Keywords

Optimal stopping / Mixed control / Variational inequality / Viscosity solution