On the Value Function of Weakly Coercive Problems in Nonlinear Stochastic Control
Journal Article
·
· Applied Mathematics and Optimization
- Dipartimento di Matematica Pura e Applicata (Italy)
- Dipartimento di Metodi e Modelli Matematici per le Scienze Applicate (Italy)
In this paper we investigate via a dynamic programming approach some nonlinear stochastic control problems where the control set is unbounded and a classical coercivity hypothesis is replaced by some weaker assumptions. We prove that these problems can be approximated by finite fuel problems; show the continuity of the relative value functions and characterize them as unique viscosity solutions of a quasi-variational inequality with suitable boundary conditions.
- OSTI ID:
- 22043918
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 64; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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