Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2508.04809 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866913978704199680 |
|---|---|
| author | Calixto, Anderson O. da Costa, Bernardo Freitas Paulo Valle, Glauco |
| author_facet | Calixto, Anderson O. da Costa, Bernardo Freitas Paulo Valle, Glauco |
| contents | We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear, degenerate elliptic Hamilton--Jacobi--Bellman (HJB) equation with a nontrivial Neumann boundary condition. Although these features have been studied separately, this work provides the first unified treatment combining them all. We establish that the optimal value function associated with the control problem is the unique viscosity solution of the HJB equation with a nontrivial Neumann boundary condition, and we present an illustrative example demonstrating the applicability of the framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_04809 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Stochastic Optimal Control with Control-Dependent Diffusion and State Constraints: A Degenerate Elliptic Approach Calixto, Anderson O. da Costa, Bernardo Freitas Paulo Valle, Glauco Optimization and Control We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear, degenerate elliptic Hamilton--Jacobi--Bellman (HJB) equation with a nontrivial Neumann boundary condition. Although these features have been studied separately, this work provides the first unified treatment combining them all. We establish that the optimal value function associated with the control problem is the unique viscosity solution of the HJB equation with a nontrivial Neumann boundary condition, and we present an illustrative example demonstrating the applicability of the framework. |
| title | Stochastic Optimal Control with Control-Dependent Diffusion and State Constraints: A Degenerate Elliptic Approach |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2508.04809 |