On the value function of weakly coercive problems in nonlinear stochastic control

DOI10.1007/S00245-011-9132-2zbMATH Open1229.93167arXiv1312.7443OpenAlexW2082729389MaRDI QIDQ647499FDOQ647499

Authors: M. Motta, C. Sartori 

Publication date: 23 November 2011

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

Abstract: We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this paper we obtain such properties and a uniqueness result under some explicit sufficient conditions. We briefly investigate also the infinite horizon problem.

Full work available at URL: https://arxiv.org/abs/1312.7443

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zbMATH Keywords

viscosity solutionssingular stochastic controlnonlinear stochastic control systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cited In (4)

• Optimal value functions for weakly coupled systems: a posteriori estimates
• Weak lower semi-continuity of the optimal value function and applications to worst-case robust optimal control problems
• On a class of singular stochastic control problems driven by Lévy noise
• Weakly coercive problems in nonlinear stochastic control: existence of optimal controls

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