Interior Regularity of Fully Nonlinear Degenerate Elliptic Equations I: Bellman Equations with Constant Coefficients

DOI10.1137/130912724zbMATH Open1315.93089arXiv1302.7062OpenAlexW2964071326MaRDI QIDQ5256609FDOQ5256609

Authors: Wei Zhou 

Publication date: 19 June 2015

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Abstract: This is the first of a series of papers on the interior regularity of fully nonlinear degenerate elliptic equations. We consider a stochastic optimal control problem in which the diffusion coefficients, drift coefficients and discount factor are independent of the spacial variables. Under suitable assumptions, for $k=0,1$, when the terminal and running payoffs are globally $C^{k,1}$, we obtain the $C^{k,1}$-smoothness of the value function, which yields the existence and uniqueness of the solution to the associated Dirichlet problem for the degenerate Bellman equation.

Full work available at URL: https://arxiv.org/abs/1302.7062

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zbMATH Keywords

interior regularitycontrolled diffusion processesfully nonlinear degenerate elliptic equationsderivative estimateBellman equations with constant coefficients

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Nonlinear elliptic equations (35J60) Degenerate elliptic equations (35J70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (4)

• A theorem on degenerate elliptic Bellman equations in bounded domains
• Title not available (Why is that?)
• Control of Degenerate Diffusions in R d
• A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains

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