Abstract
We apply the stochastic Perron method of Bayraktar and Sîrbu to a general infinite horizon optimal control problem, where the state $X$ is a controlled diffusion process, and the state constraint is described by a closed set. We prove that the value function $v$ is bounded from below (resp., from above) by a viscosity supersolution (resp., subsolution) of the related state constrained problem for the Hamilton-Jacobi-Bellman equation. In the case of a smooth domain, under some additional assumptions, these estimates allow to identify $v$ with a unique continuous constrained viscosity solution of this equation.
Citation
Dmitry Rokhlin. "Stochastic Perron's method for optimal control problems with state constraints." Electron. Commun. Probab. 19 1 - 15, 2014. https://doi.org/10.1214/ECP.v19-3616
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