SIAM Journal on Control and Optimization, Vol.33, No.3, 937-959, 1995
Singular Optimal Stochastic Controls .2. Dynamic-Programming
The dynamic programming principle for a multidimensional singular stochastic control problem is established in this paper. When assuming Lipschitz continuity on the data, it is shown that the value function is continuous and is the unique viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation.