Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem

DOI10.1007/BF01442856zbMath0688.49026MaRDI QIDQ1263811

Pierre-Louis Lions, Jean-Michel Lasry

Publication date: 1989

Published in: Mathematische Annalen (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/164529

zbMATH Keywords

infinite horizonoptimal feedback controlnonlinear elliptic equationsergodic problemviscosity approachSingular problemsoptimal markovian controlstate constrained optimal stochastic control problemssubquadratic and superquadratic Hamiltonians

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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