Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control

DOI10.1051/cocv/2015033zbMath1346.35067arXiv1501.00423OpenAlexW2963689903WikidataQ58925390 ScholiaQ58925390MaRDI QIDQ2994676

Martino Bardi, Annalisa Cesaroni, Luca Rossi

Publication date: 3 August 2016

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00423

zbMATH Keywords

stochastic controlHamilton-Jacobi-Bellman equationsviscosity solutionsdegenerate elliptic PDEsexit-time problemsergodic control with state constraints

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Degenerate elliptic equations (35J70) Viscosity solutions to PDEs (35D40) Liouville theorems and Phragmén-Lindelöf theorems in context of PDEs (35B53)

Related Items (4)

Liouville properties and critical value of fully nonlinear elliptic operators ⋮ On a parabolic Hamilton-Jacobi-Bellman equation degenerating at the boundary ⋮ Liouville results for fully nonlinear integral elliptic equations in exterior domains ⋮ Mean field games under invariance conditions for the state space

Cites Work

• On the large time behavior of solutions of the Dirichlet problem for subquadratic viscous Hamilton-Jacobi equations
• Gradient bounds for elliptic problems singular at the boundary
• The ``ergodic limit for a viscous Hamilton-Jacobi equation with Dirichlet conditions
• Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem
• Fully nonlinear Neumann type boundary conditions for second-order elliptic and parabolic equations
• Elliptic partial differential equations of second order
• A geometric characterization of viable sets for controlled degenerate diffusions
• Quelques remarques sur les problèmes elliptiques quasilinéaires du second ordre. (Some remarks on second order quasilinear elliptic problems)
• Maximum principle and generalized principal eigenvalue for degenerate elliptic operators
• On Liouville type theorems for fully nonlinear elliptic equations with gradient term
• Controlled Markov processes and viscosity solutions
• Lyapunov stabilizability of controlled diffusions via a superoptimality principle for viscosity solutions
• On the boundary ergodic problem for fully nonlinear equations in bounded domains with general nonlinear Neumann boundary conditions
• Ergodic Control of Diffusion Processes
• On the Existence of Optimal Controls
• Ergodicity, stabilization, and singular perturbations for Bellman-Isaacs equations
• Invariant measures associated to degenerate elliptic operators
• User’s guide to viscosity solutions of second order partial differential equations
• A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
• On ergodic stochastic control
• The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
• Propagation of maxima and strong maximum principle for viscosity solutions of degenerate elliptic equations. II: Concave operators
• Hadamard and Liouville Type Results for Fully Nonlinear Partial Differential Inequalities
• Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Propagation of maxima and strong maximum principle for viscosity solutions of degenerate elliptic equations. I: Convex operators
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control