Interior Regularity of Fully Nonlinear Degenerate Elliptic Equations I: Bellman Equations with Constant Coefficients
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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 , when the terminal and running payoffs are globally , we obtain the -smoothness of the value function, which yields the existence and uniqueness of the solution to the associated Dirichlet problem for the degenerate Bellman equation.
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Cited in
(5)- Weak interior second order derivative estimates for degenerate nonlinear elliptic equations
- A theorem on degenerate elliptic Bellman equations in bounded domains
- A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains
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