We consider the Cauchy problem in ℝd for a class of
semilinear parabolic partial differential equations that arises in some stochastic control
problems. We assume that the coefficients are unbounded and locally Lipschitz, not
necessarily differentiable, with continuous data and local uniform ellipticity. We
construct a classical solution by approximation with linear parabolic equations.
... [Show full abstract] The
linear equations involved can not be solved with the traditional results. Therefore, we
construct a classical solution to the linear Cauchy problem under the same hypotheses on
the coefficients for the semilinear equation. Our approach is using stochastic
differential equations and parabolic differential equations in bounded domains.
Finally, we apply the results to a stochastic optimal consumption problem.