A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains

DOI10.1007/S00245-013-9194-4MaRDI QIDQ360367zbMATH OpenOpenAlexFDO

Authors Wei Zhou

Publication date 26 August 2013

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.5692

zbMATH Keywords

interior regularitysmooth domainscontrolled diffusion processesdegenerate Bellman equationDirichlet boundary datafully nonlinear degenerate elliptic equationsstochastic optimal control in a domain

Mathematics Subject Classification ID

Regularity of solutions in optimal control (49N60) Optimal stochastic control (93E20)

Abstract: We consider the value function of a stochastic optimal control of degenerate diffusion processes in a domain $D$. We study the smoothness of the value function, under the assumption of the non-degeneracy of the diffusion term along the normal to the boundary and an interior condition weaker than the non-degeneracy of the diffusion term. When the diffusion term, drift term, discount factor, running payoff and terminal payoff are all in the class of $$, the value function turns out to be the unique solution in the class of $$ to the associated degenerate Bellman equation with Dirichlet boundary data. Our approach is probabilistic.

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Cited in

(5)

• Analytic regularity and collocation approximation for elliptic PDEs with random domain deformations
• The probabilistic Brosamler formula for some nonlinear Neumann boundary value problems governed by elliptic possibly degenerate operators
• Interior gradient and Hessian estimates for the Dirichlet problem of semi-linear degenerate elliptic systems: a probabilistic approach
• Interior Regularity of Fully Nonlinear Degenerate Elliptic Equations I: Bellman Equations with Constant Coefficients
• On regularity properties and approximations of value functions for stochastic differential games in domains

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