We study the partial differential equation
max{Lu − f, H(Du)} = 0
where u is the unknownfunction, L is a second-order elliptic operator, f is agiven smooth function and H is a convex function. This is a modelequation for Hamilton-Jacobi-Bellman equations arising in stochastic singular control. Weestablish the existence of a unique viscosity solution of the Dirichlet problem that has aHölder continuous gradient. We also show that if H is uniformlyconvex, the gradient of this solution is Lipschitz continuous.
