Hai-Chuan Ding

Target-Generated Dirichlet Problems in State-Constrained Stochastic Control

We study state-constrained stochastic control problems with a scalar surplus $R \geq 0$. Controls for which the drift and volatility of $R$ vanish at zero define a lower-dimensional Hamilton-Jacobi-Bellman equation. Starting from control-wise state-constraint viscosity inequalities, we prove that the upper and lower li...