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.
On the value function of weakly coercive problems in nonlinear stochastic control
SARTORI, CATERINA;MOTTA, MONICA
2011
Abstract
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.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
on the value function.pdf
Accesso riservato
Descrizione: Articolo principale
Tipologia:
Published (Publisher's Version of Record)
Licenza:
Accesso privato - non pubblico
Dimensione
930.47 kB
Formato
Adobe PDF
|
930.47 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
