Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem
type: Item
instance of: scholarly article
title: Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem
zbMATH Open document ID: 1205.93162
author: Rainer Buckdahn
author: Marc Quincampoix
author: Piermarco Cannarsa
published in: NoDEA. Nonlinear Differential Equations and Applications
publication date: 2010-12-03T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 35D40
Mathematics Subject Classification ID: 35K55
Mathematics Subject Classification ID: 35K65
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 49L25
zbMATH DE Number: 5822923
zbMATH Keywords: nonlinear parabolic partial differential equation
zbMATH Keywords: Hamilton-Jacobi-Bellman type
zbMATH Keywords: regularity results
zbMATH Keywords: Lipschitz continuity
zbMATH Keywords: semiconcavity
zbMATH Keywords: viscosity solution
zbMATH Keywords: stochastic optimal control problem
MaRDI profile type: Publication
full work available at URL: s00030-010-0078-x
OpenAlex ID: W2043536252
cites work: Semiconcave functions, Hamilton-Jacobi equations, and optimal control
cites work: Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
cites work: Controlled Markov processes and viscosity solutions
cites work: Q3981472
cites work: Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
cites work: Q3910361
cites work: On the regularity theory of fully nonlinear parabolic equations: II
cites work: Q4255599
DOI: 10.1007/S00030-010-0078-X
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description: scientific article; zbMATH DE number 5822923