scientific article; zbMATH DE number 1529810
The authors study the Dirichlet type boundary value problem \[ F(x,u,Du,D^2u)=0, \quad x\in \Omega,\tag{1} \] \[ u=g \quad or \quad F(x,u,Du,D^2u)=0,\quad x\in \partial\Omega, \] where \(\Omega\subset \mathbb{R}^N\) is an open set, \(F\) is a fully nonlinear nondegenerated elliptic operator increasing in the variable \(u\), and \(g\) is continuous on \(\partial\Omega\). They consider the viscosity and the extended solution of type (1) problems and choose (under some assumption about their behaviour) the maximal subsolution \(u\) as a correct generalized solution to (1) which allows it to be discontinuous. The solution defined in this way is called the e-solution or the Perron-Wiener solution and the approximation theorems are given to construct it, in particular by penalization. The results are applied to study the Hamilton-Bellman equations of time optimal stochastic control and pursuit-evasion games.
- scientific article; zbMATH DE number 1985418
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- The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
- scientific article; zbMATH DE number 3879389
- Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem
- Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem
- Verification by stochastic Perron's method in stochastic exit time control problems
- Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control
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- scientific article; zbMATH DE number 3879389 (Why is no real title available?)
- The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
- scientific article; zbMATH DE number 1985418 (Why is no real title available?)
- scientific article; zbMATH DE number 1419772 (Why is no real title available?)
- Comparison principle for Dirichlet-type Hamilton-Jacobi equations and singular perturbations of degenerated elliptic equations
- Optimization of the Dirichlet problem for gradient differential inclusions
- Representation formulas for solutions of the HJI equations with discontinuous coefficients and existence of value in differential games
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