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GRANT ALL ON my-database.* TO my-user@ IDENTIFIED BY 'password';
ERROR 1046 (3D000): No database selected

Ok, I have created a database with a "-" on the name (did the same thing on the user)... then when I try to set the grants on it the database wont work.

If I use the base the error is different

MariaDB [(none)]> use my-base
Database changed
MariaDB [my-base]> GRANT ALL ON 'my-base'.* TO 'my-user'@'' IDENTIFIED BY 'password';
ERROR 1064 (42000): You have an error in your SQL syntax; check the manual that corresponds to your MySQL server version for the right syntax to use near ''my-base'.* TO 'my-user'@'' IDENTIFIED BY 'password'' at line 1
MariaDB [my-base]> 
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In regards to the second error if you set your database, if you're not running in ANSI-quote sql_mode, ' doesn't escape a database object. Use the back tick ` – Derek Downey Oct 19 '12 at 15:03
Slight correction to myself...ANSI_QUOTES affects the double-quotes for escaping...single-quotation never does :) – Derek Downey Oct 19 '12 at 15:14
up vote 8 down vote accepted

Try escaping it with backticks?

GRANT ALL ON `my-database`.* TO `my-user`@`` IDENTIFIED BY 'password';

Also, if you already have a user my-user@, you don't need to provide the IDENTIFIED BY... portion of your grant statement

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