Applied Mathematics and Optimization, Vol.64, No.1, 71-100, 2011
On the Value Function of Weakly Coercive Problems in Nonlinear Stochastic Control
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.